If you can't drag and drop into the IDE, then just do the same way that you would add anything else into your game: right-click Sounds on the Resource Tree and Create Sound.
Alternatively the manual has this:
Note that when you have the
Resource Tree in focus, the top menu of the IDE has a new menu item:
This simply permits you to create a new resource without having to use the right mouse button
menu on an individual resource folder.
You would then select the Create Sound from that menu (or you can use the shortcut keys instead).
Then to do the rest of the stuff about selecting the sound file, just follow the instructions in the manual:
http://docs2.yoyogames.com/index.html?page=source/_build/2_interface/1_editors/sounds.html