Welcome to the Forum:)
Can I attach sound to the preform action like the horse walk or gallop?
No. You need to Select the Prop & Scroll-down to the Prop'; Modify/Sound Track & Import it.
Also can I add particles to a preform action like a shot from a gun, ie smoke & flash/fire?
No. You need to Attach the Particles, via the Particles Emitters.
How do i make my shotgun able to drag & drop onto any avatar so it's in their hands like a lot of the other props are?
Those are embedded in iClone iProps. You do it manually with Props that aren't iProps, by Selecting Prop's Attach/Link To & selecting Avatar's hand & Editing Avatars Motion Layer, to adjust. If it's a Shotgun, you need to Link, not Attach.