Consider that all sounds can be streamed from disk if you create a Sound object with a UrlRequest. when calling play(), this sound will start loading, and you can unload it later.
If you load a sound with the assetManager you'll be waiting for it to be fully loaded to play it and if you have too many of them, you might blow up your resources or wait for too long than what is acceptable so organize yourself carefully.
Example scenario :
ui sound effects are small, you can embed them and keep them in memory, and play them as you do, without an asset manager, or using a master asset manager that you'd load once as vamapaull suggests. If you have many of those however, you might want to categorize them - and use more than one asset manager so you can load/unload categories of sounds.
short sounds very specific to some parts of your app/game, could be loaded just for these parts. Again, more than one asset manager is very appropriate to load sounds from specific folders as suggested too.
I can't stress enough that you shouldn't hesitate to use many assetManagers to help you organize yourself, and clear them when necessary, you can even have one for textures and one for sounds if you want. AssetManager is not heavy, it really helps, specially if you don't want to create your own sound manager.
Big sounds, like 6 minute backgrounds music, should definitely not be loaded at the start of your app in an asset manager that you'll keep around all the time. I mean you can get away with it, its only mp3s after all...
But you can have bgms in the app directory, create your Sound object when necessary with an UrlRequest pointing to the needed bgm file (app:/audio/bgm1.mp3) , when playing it, it will internally call load() and start playing/streaming from disk, so you get a bit of a delay there, but you can then unload it when you're done with it. It's better to stream big sounds so the user doesn't wait for ages, specially if that part of the app playing that music, only has very few graphic/data assets to load and the only thing making him wait is that you're forcing him to load the sound completely before listening to it. we tend to forget the fact that flash can just stream sound from disk (or from the web) and 'preloading' sound might be unecessary most of the time.