So I did (in Unity editor):
GameObject -> Create Empty
the I dragged my Avatar.cs (the main player animation MonoBehaviour) onto the gamefile.
Inside Avatar.cs I added:
public AudioClip audioClipJump;
and
// this is where the jump animation gets played
audio.PlayOneShot(audioClipJump);
Back in Unity editor, I see the component Audio Clip Jump inside GameObject.Avatar, and I drag and dropped the .wav file onto it.
Then I go into the game, and the jump animation plays, but I have no sound :(
here is a screenshot of the Unity editor:

and like I said, just the 2 lines in the C# file