Assemble the Wave Shield kit and get your Arduino board up & running. Copy the zip of example halloween wave's onto the SD card and run the DAPHC example sketch from the WaveHC Library. Each sound should play in sequence. Look at the debug log if there are any issues.
Next, solder two wires to the speaker and connect them to the shield as shown, you should be able to hear the effects pretty well.
If you want a power boost, you can 'piggyback' another amplifier chip (TS922) on top of the existing one. This will approximately double the maximum volume.