Nobody can tell you anything without proper system info or other technical details like comp settings, render settings, version of AE and so on. Just saying that it doesn't work is in no way useful.
James, are you using After Effects version 13.5.1? If so, there is a bug in that version that prevents sound from being in the final render.
It's a pretty ridiculous bug and I'm pretty sure I saw an Adobe person say that it should be fixed in the update that's coming towards the end of the month.
Thankfully, there are some workarounds in the meantime. Here are four (I've bolded my favorite):
- Render to a .mov file - you'll have sound. (You can then drop that file into Adobe Media Encoder to create your deliverable.)
- Send your AE project to render in Adobe Media Encoder
- Take your silent video into Premiere to do your sound design (I usually don't mess with audio in AE anyway)
- Once you're ready to render, open your project file in After Effects CC 2014 to do your rendering (bonus: CC 2014 can render with multiprocessing, so the render may be significantly faster) - this is my normal workflow anyway.
Yes, this bug is fixed in the update due out at the end of this month.
I wanted to make sure I wasn't speaking from faulty memory.