You can use the "Song > Import File..." to import audio files onto tracks.
If you have Sample One open, you can drag and drop into it instead of putting a WAV file on a track. It depends on what you want to do.
In my mind it's often easier to just drag and drop them from the File Explorer, Finder or the S1 Browser.
Find the samples/audio you want, drag it in and S1 will put it on an existing track IF you drop it there, -OR- create a new track if you drop it below the existing tracks. Alternately, drop it on Sample One and it will show up in its interface, where you can use it there.
While "Import File..." works great, 95% of the time you can simply drag and drop the audio in where you want it.