I have tested .wav files. I haven't tested other files types so don't know for sure. Audacity may be a good choice for any audio file editing you need to do.
If you want the media associated with answer option(s) instead of with a question, then you will need to edit the choices sheet. These options on your choices sheet:
+-----------+-------+--------+--------------+
| list name | name | label | media::audio |
+-----------+-------+--------+--------------+
| birdsongs | bird1 | bird 1 | birds001.wav |
| birdsongs | bird2 | bird 2 | birds002.wav |
| birdsongs | bird3 | bird 3 | birds003.wav |
+-----------+-------+--------+--------------+
With this question on your survey sheet:
+----------------------+------+-----------------+
| type | name | label |
+----------------------+------+-----------------+
| select_one birdsongs | bird | Select a sound. |
+----------------------+------+-----------------+
Will give you this screen in ODK Collect:
