I\'m making a java application and I need to play audio. I\'m playing mainly small sound files of my cannon firing (its a cannon shooting game) and the projectiles exploding
You should create a thread that handles the audio playback. But make sure that it is able to mix in sounds, so two shots that happen after each other can get their sounds played at the correct time, without waiting for the prior sound to finish. There should be Frameworks out there that do the mixing for you.
A good starting point is: http://www.oracle.com/technetwork/java/javase/tech/index-jsp-140239.html