1. Import your audio files into your Unity Project. These are now Audio Clips.
2. Go to GameObject->Create Empty from the menubar.
3. With the new GameObject selected, select Component->Audio->Audio Source.
4. Assign the Audio Clip property of the Audio Source Component in the Inspector.

Hints:

* The key to a nice sound environment is tweaking the Rolloff Factor.
* 3D audio effects will only work for mono Audio Clips. Stereo Audio Clips will be mixed as-is into the sound output. 

I'll give u a C# verison, the sound file has to be in ur "Resources" Folder.

using UnityEngine;
using System.Collections;

public class Sound_Player: MonoBehaviour 
{
    AudioSource audio_source;
    AudioClip sound;
        // Use this for initialization
    void Start ()
    {
        audio_source = (AudioSource)gameObject.AddComponent("AudioSource");
        sound = (AudioClip)Resources.Load("File Name");
        audio_source.clip = sound;
    }
        // Update is called once per frame
    void Update ()
    {

    }


//Script to revert winning player back to main menu

var levelToLoad : String;

function OnTriggerEnter(hit : Collider) {

audio_source.Play();
Application.LoadLevel(levelToLoad);

}//END FUNCTION ONTRIGGERENTER


}

The problem is that the sound will be stopped when you try to load the next level

What I would do is play a sound (using audio.Play, not PlayOneShot), and wait until audio.IsPlaying is false. After that, load the level like you normally would

The reason why sound stops is that SoundClip and SoundSource are all destroyed while changing level. Use "DontDestroyOnLoad" method and protect GameObjects with sound components.