The <Insert Sound> button on the Edit Macro window allows you to play a sound (WAV file) or a beep in the middle of your macro. See below.
Click Beep if you simply want a beep in your macro. Click "Play a .WAV file" if you want to play a sound file. You then will need to type the folder and filename of where the sound file is. Use the <Browse> button if you need help locating the sound file.
You have the option of having the macro pausing until the macro finishes playing or continuing as soon as the macro starts to play. If you want it to pause click "Wait for .WAV file to finish."