Yes. Press Alt-R, go to the file menu and choose New (prevents conflicts by having it on a new script). Then just use that command.
Note that if you need to include a path to the sound, and the path or filename has spaces, then use quotes around it like this:
on *:join:#channel:{ splay "my sound.wav" }
on *:join:#channel:{ splay "c:\program files\sound.wav" }
*EDIT*
I'm too slow.
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