It's the same as adding an image directly to your library. There's not a copy of the asset in your game unless you specifically add it to your game. The art library feels a little different because you can do both at the same time. Here is the Help Center page on working with tracks in Roll20. The drop downs for Add to game should give you the game as an option. If you add to a play list, you are just adding to the playlist in My Audio, not a playlist in your game. If your My Audio interface is not showing these buttons, you may have a larger problem. If so, we can look at some solutions.