You cannot do that in normal Roblox studio unless you use a plugin but I don’t think that there’s one for that and there’s no need for one to exist currently since you can just go to the library’s audio tab and choose the audio ID that you want and simply past it in a sound.
But do not lose hope, you can still always request a new feature for Roblox studio to be added here:
If your looking about how to play a local sound that only the player could hear then take a look at the :PlayLocalSound() API Reference here: :PlayLocalSound() API Reference
Hope this helped you. 