You can copy a method playing a sound to the clipboard and move it to another world but this has many problems - including the fact that you often lose the name of the sound - so I really don't recommend this.
The best way really is to just keep a file of your songs on your hard disk and import them into a world each time you want to use them.
Another opition is to add an object to your world (say the stereo) and import all your song files to it - then save the result as a new object and add that object to all of your future worlds. The main problem with this approach is that you now have all of your song library in every world - and songs take a lot of memory, which in turn impacts performance and makes crashes much more likely. If you are really going to use an entire set of sounds in several worlds, this approach may make sense - but otherwise it's better to start from scratch for each new world.
(There is no way I know of
(but Gabe does - see next post) to move a song within a world or to export a song file if you just want to listen to it outside of Alice. If the only copy you have of the song is in a world and you want to reuse it, you will either have to build a new world by making changes in the existing world or exporting and reusing an object if the song is associated with a specific object.)