The data structure linking what you see in the Wwise Authoring and what you hear in the game is the SoundBank. In theory, every time you make a change in Wwise, and you want to head the result in the game, you should re-generate the SoundBanks. In your example:
- In Wwise, you create the Explosion_Play event, and link it to a media file.
- You create the event in UE, and assign it to a SoundBank
- You generate your banks
- You play the scene, and hear your explosion. But you decide it's not a good fit.
- You go back to Wwise, and change the media file pointed by the Explosion_Play event. Save your Wwise project.
- Go back to UE, and re-generate the SoundBank containing your event. This will update all the references in your game, and the Explosion_Play event will now point to the new media file.
- Replay the scene. The new explosion sound can now be heard.
For your case (adding new media and/or changing sources for an event), this is the only way to go. However, if you do other kinds of changes (changing volume, adding effect, changing pitch, etc.), you don't need to regenerate your SoundBanks every time. You can connect the Wwise Authoring Tool to the UE Editor, and do those changes "live" while playing your game. Once you are satisfied with the results, save your Wwise project, and re-generate your SoundBanks.
For more information on profiling, you can refer to Chapter 31 of the Wwise help (from the Authoring Tool, go to Help > Wwise Help), under section Wwise Help > Finishing Your Project > Profiling