You can upload them only if you have the space upgrade and I believe Videopress upgrade as well. If you just want to use the audio, you’re better off converting them and using them according to the Audio Player instructions.
As I said, the audio player works with mp3s only. What you can upload and what you can use or how you can use it aren’t the same thing. Fore example, you can upload PDFs as well, but you can only link to the file you uploaded, not embed and display the actual PDF in a post.