Sound - help

Guys:
What is the best way to attached sound to my movie. I used to used the sound obejct as such:
my_Sound_sound = new Sound();
mySound_sound.attachSound(“soundID”);
etc etc.
But by under the linkage menu I am only able to select export in the first frame. Which makes my first frame super huge. Than my preloader will not load until the sound, so it is no good. What shall I do?
What is the best way? Import MC?
THanks,
Miran