I want to add narration to one slide at a time.

Moving slides using click and drag in the navigator side bar and adding audio using the finder to drag directly onto the slide could not be simpler.

What have you tried doing and what happens when you do?

I would suggest a program called profcast to record your narraration, or re-record the audio you want to change just import it into keynote. Adding audio in keynote can be a pain depending on how you plan on exporting it. If you are planning on exporting it as a movie there are a series of things that you will need to also setup. But I will assume you are just creating a autoplay presentation. You can change your existing audio into a media placeholder (Format>advanced>define as media placeholder) in keynote and just drag the new audio into the presentation with the old one selected. This will replace the audio file with the new one and have the new audio adopt the old audio files settings and build attributes.