Just drag and drop your audio file using windows explorer to any area into Lightworks.
You will then get an import dialog where you can adjust some settings.
After you confirmed by pressing Start it will add your audio to Lightworks, into a so-called Bin.
By the way, I recommend to check out the Lightworks tutorials for getting a better idea on importing files. Video tutorials
Lightworks 12.5.e x64 version (pro license), on Windows 8.1
Hardware: Intel Core i7-4710HQ Quad-core 2,50 GHz, 16 GB DDR3 L SDRAM
GPU: NVIDIA GeForce GTX 860M with 4 GB RAM
Sound: Onboard (Realtek)
Disks: 250 GB SSD internal (OS), 1 TB internal SATA for editing material, one eSATA II (external) 1 TB for editing material (video and audio)
Cams: Sony NEX-VG20, NEX-5N, all in PAL Region