You can add sound to a Flash file a couple of ways. ONe will be to plant it in a frame in the timeline. Another will be to use Actionscript where you implement the Sound class. You should Google these to find out how to use them.
As far as creating an swf goes, that is the primary output of an fla file when you Publish it. If you look under the File menu options you will see Publish Settings (where you can choose which file types you create) and the option to Publish, which creates the selected output files.
Just wonder how could I "plant it in a frame in the timeline"?
I tried to call you but in vain. Please let me have a link to such tutorial?
Here is a tutorial on how to find something about planting sound in a timeline using Google.
1) go to the Google search page: Google (or just use the Google search option in your browser if you have it)
2) Enter "Flash add sound to timeline" in the textfiield and click the search button
3) Review all of the results that you get that explain how to add sound to a timeline