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 12.0.1.d x64 version (pro license), on Windows 7 Professional SP1 x64.
Hardware: Intel Core 2 Quad Q6600, 2.4 GHz, 8 GB RAM
GPU: NVidia GeForce GTX 275, 896 MB RAM
Sound: External, Focusrite Saffire Pro 40 (via Firewire)
Disks: RAID 0 SATA II internal, 160 GB for OS and applications, one eSATA II (external) 1 TB for editing material (video and audio)
Cams: Sony NEX-VG20, NEX-5N, Panasonic HDC-SD100, all in PAL Region