It'd be good to have the option to just preload all of the audio as part of the loading of the entire game. I know using this would mean longer overall load times, but not everyone minds that.
The preload thing works, but it's not a very elegant solution - I have a huge block of about 50 sounds preloading on my first layout's event sheet because I don't like the way the sound stutters on first play otherwise, and I have to remember to add them manually to the block each time I add a new sound. Maybe a "Preload All" option or something?