Uploading large files such as images and sounds not only take up a lot of space on your site they also take a long time for your site visitors to download. The larger the file, the longer it will take for site visitors to download. Large files would be anything over 500K. Personally, I would upload files no larger than 200K.
There are many products out there that will compress files for you. Check out www.download.com and enter the appropriate search term in the search field. An example would be compress image or compress wav file.