For anyone that’s using Lubuntu 13.04 / PCManFM 1.1.0, if you find that dragging and dropping files into Audacity isn’t working, it appears the bug is with PCManFM itself and not Audacity, just so you know.
There has been a bug fix to drag and drop behaviour in PCManFM 1.1.1 so hopefully this will be OK in the next update.