You can place assets in a level and they’ll be loaded along with everything else when that level is opened.
You could make a reference to that asset from within some actor such as a character or GameInstance which will then load that asset whenever the actor is loaded.
However the downside with hard references such as those is that the asset is always loaded which can be a waste of memory if its only used a few times especially as your project scales in complexity and you find the memory usage is exceeding your budget.
If you need a sound to be pre-loaded and it only plays once you add it to the level and assign it an initial life span so that it gets deleted and eventually removed entirely with the next garbage collection.