For sounds like horns, where they normally have very distinct attack (start) and decay (end) sounds, but loop in the middle, I've never found a good solution. Hacky solutions included not looping at all, or making three sounds with an instance group in the blueprint editor that tried to let the start sound play, then the middle, then the end - that never worked at all.
Skip forwards 5 years and today I discovered almost by accident that TS20xx supports loop points inside the WAV audio files.
Loop points are exactly what they sound like - they're start- end end-points inside the main waveform that create a continous loop between them.
So to make a horn that has attack, loop and delay sounds, that allows the player to have the horn sound for as long as they want, you get a single sample of the complete horn - on, long blast, off. Edit it in your favourite sound editor (I use Audacity, mostly) and when you're ready, open it in Wavosaur (another free audio editor - I use this for loop points because audacity doesn't support them). In there you can drag a selection and start playing the sound looped, so you can drag the start and end points of the selection until you get a decent loop without clicks, pops or other odd artifacts. Once you're happy, select Tools -> Loop -> Create Loop points. Then save the file.
Yeah - like I said - might be late to the party but if nothing else, this topic is here for future googlers.
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