I can play wav files just fine using a SoundEffectInstance but I can't find any way to play compressed audio with these libraries on the phone.
The way I've found to do this with XNA is to use the XACT creation tool as outlined here but the AudioEngine, WaveBank, and SoundBank classes aren't available on the phone as far as I can tell. Through various resources I've found I've seen people using the content loader to load directly into a sound effect:
SoundEffect soundEffect = Content.Load<SoundEffect>(@"Content\Audio\LaserShot");
soundEffect.Play();
but I can't seem to get that to work either.
It seems to me there must be a way to do this because having all your sound effects be uncompressed wav's is a bit ridiculous.