Footsteps & weapon sounds

Create a sounds folder

Find some wav sounds and add them to the sounds folder

They must be wav files

Open your Shotgun animation file

Open the Jog_Fwd_Rifle animation

Pause the animation and use the scrubber to find where the character is about to touch the ground

Right Click

Add Notify

Play a sound

Select the Play Sound

Select your audio

Copy and paste each footstep in the proper frame

Test 

Go to BP ThirdpersonCharacter

In the shooting system after the final set, pull out Spawn Sound at Location

Location will be Get Actor Location

Select your shot sound