Hello,
The Load Sound and Play Sound are not affected by the current level.
You can just stop the sound by using Play Sound with volume 0 when you switch to the next level and then Play the other level sound.
You should put the Play Sound commands inside a Timeout because the Play Sound command could be canceled when switching a level.
Here is an example (You can view the source):
www.gamemaker3d.com/player?pid=01658166
Regards,
Cyberix3D team