How you load your sound depends on a few things. How long does it take your sound file to play. Are you expecting people with slow connections to visit your site? Do you care if they wait?
My next piece of advice is to choose "View Streaming" when in the Flash app. There you can see how your SWF will look while downloading.
I'm almost certain a preloader will measure all the content loaded in the movie (including sounds, streming or not). As I'm pretty sure you're aware, you can have the preloader bail out after half (or any other amount) of your movie is loaded.
Putting the sound into a seperate file sounds like a good idea. It allows the viewer to see content quicker.
There's a site that used to promote the "Killer Sound" technique. It was really small, but fairly complicated. It involved making a series of loops and playing them in a dynamic fashion. A search for "killer sound" on the Net or this site will probably get you their URL.
Hope this helps,