Yah, with the sound regions, I'll be able to do all sorts of things I've wanted to (like have the sounds of a generator, but only near it).
Okay, back to the question at hand:
turns out that it's really the scripting that is going to put the sounds in your Age. I just tried it as Nadnerb shows in the Wiki, and you're right. It does NOT play back in Blender. I mean the cursor moves, but I hear nothing.
However, when I exported the Age, the sound I put in that way, did work.
But, to me, the Video Sequencer is more important, as you can see several sounds listed all at once in one window, AND you can play the sounds back to make sure you've got the right one. (Alt-A will play back the audio in the Video Sequence window).
I think that option should be listed in the Wiki.