Well, you could directly edit the original file on your hard drive that is in the Event folder. When you're done you may have to relink it.
Or you could not mess with the original, in case you want to give it another try later, or do something with the original in it's raw state. In which case you'd duplicate it in the Finder (not in FCPX, that makes a dupliate that refers to the same physical file).
Personally, I wouldn't want to mess with my original like that, just in case. I've had too many unforseen instances where I was really glad I had the original untouched physical copy.
Okay, so you have now just confirmed everything that I am thinking. And have a bad feeling about messing with the original file - but if it works - it is a brilliant time saver.
I could have a go at just one file.. Or maybe I cab copy the project and event to a external drive and rename the files - and FCPX will see it as a different project? Because then I could have a go, and if it work, I just keep that project instead?
No, copying the whole Project and Event is just too much of a waste of time.
Do this, in the Browser, select the audio file you need to take to Audacity. Export it as a Master File, and in the Settings section of the Share window, set Format to Audio Only. Set Audio File Format to AIFF. Set Open With to "Other" and select Audacity. Then pick your Desktop as the location to save the file.
In Audacity, do whatever it is you want and save it.
Back in FCP X, import the new "fixed" file, be sure to check the box to copy it to your Event folder.
Finally, if necessary, do a Replace edit with the new version to the old one if it has already be edited into a Timeline.
If you want to keep the original, and play with a copy, then I would do what Ben is suggesting. If you feel confident, you edit the audio in your project in FCP X directly. I think it really depends on what you want to achieve at the end. These kind of decisions depend sometimes on the specific condition in front of you. There is not always one solution to fit all.