Like on the Hard drive, or a stereo? I do neither, because I need to hear the actual sounds of the game, both to immerse myself and, in games like COD4, to hear enemies.
Back when my TV had a mono audio input, I used to turn off the music in some games, put a CD in the Dreamcast or PSX, and plug the console i was playing and the console with the CD in it into a Y-cable, so both would play at the same time on the TV, and maintain the game's other sound effects. I put way too much effort into the most insignificant things...