Instead of making two loops that each do one thing, you should instead think about one loop which does two things (or more). Basically everything in a game can go in one loop.
For instance, you can do something like:
WHILE WHATEVER CHANGE SPRITE PLAY SOUND WENDIf you only want to play the sound sometimes, you can make a conditional:
WHILE WHATEVER CHANGE SPRITE IF SHOULDPLAY THEN PLAY SOUND WENDLet's say that different sprites play different sounds. You could just use the character ID for the sprite you're setting as part of the check for playing a sound. The bottom line is: don't try to make multiple simultaneous loops. Many things can happen in a loop; you don't have to make a new one for each thing.