To be really useful, the game engine should create the audio on playing, and then delete the file immediately upon switching to new background music. I'm saying background music as an assumption that that's where most of the 'custom audio' that people want encrypted is going to go. That would make it a little harder to grab the file since it would be 'in use'.
I don't know how much of a performance hit that would take, but I'm assuming most of us aren't worried about ALL the sounds and music played during the game, though I could be wrong about that.
The only time I've really come across this issue was when I was thinking of doing a 3D game. Daz makes great 3D models - after an email exchange they confirmed the models could be used in a game, so long as they were encrypted and the end user could not extract them as a model (ie: they couldn't get Victoria 4.0 for "free" by playing your game).