It adds a lot of depth when you add sound effects to your books. Known in the literary world as onomatopoeia, it's the act of writing out a word that resembles a sound. Wheeze, for example. But like all good things, too many sound effects can ruin any story.
Whizz, Bang, Boom
Sound effects are fun, even when they appear in print. A sneeze is executed with a kerchew, a laugh becomes a hearty har har. You might even get wild and throw in a splunk or two. Some scenes almost require a word effect or two, something to really bring the events on the page to life. You want the reader to be able to hear the coins drop in the fountain, not just see them.
Just don't make it a distraction. Your readers don't want to be treated to a splat or a buzz every third paragraph. When onomatopoeia is used too much, it brings attention away from the story instead of adding to it. Use it judiciously, and those sound effects will have a much bigger impact.