If you want a sound file to play as a background track for more than 1 slide; drop the sound file into the sound well in Inspector > Document > Audio
Keynote can only use one sound file in the audio well - if you drag another, it will replace the existing file.
If the sound file is is to play on one slide drag it to that individual slide
Use a sound editing application to place two tracks side by side then add that new file to the audio well.
Thanks Gary. So, I have a song that starts on the first slide. Then when it ends, (while trying to figure this out) I dropped another song in another slide. It plays on the new slide but then the very next one has both playing at the same time. Next question, how do I remove the second song?