Step 1: Click on the "SoundBanks" tab, right-click the "Default Work Unit", and create a new Soundbank. After doing this, press F7 to open the SoundBank workstation, or press the "Layouts" tab in the window menu, and selected "SoundBanks". You can press F5 to close the Manager, or use the aforementioned tab.
Step 2: Click on the "Events" tab, and drag your "Play" sound event into the SoundBank Editor.
If you want to create more sound events, you can drag them into the same SoundBank. This includes "Stop" events, which will stop a sound playing, which is necessary for stopping looping sounds. (e.g. Door alarms)
Step 3: To export the SoundBank, right-click the SoundBank in the SoundBank Manager, and "Generate SoundBank(s) for current platform", or press Shift-F7.
Step 4: To view your SoundBank file, right-click the SoundBank in the SoundBank Manager, and select the last option in the drop down menu, "Open Containing Folder", for the SoundBank. (Make sure not to select the second last option that opens the folder for the Work Unit.)
You should end up with two files, the .bnk file (the SoundBank itself), and a .txt file, containing your Event IDs. This .txt file is necessary for using your SoundBank.