Yes that is one way to create “subliminal messages”
“Subliminal” means “below threshold”, so any method of making a message below the threshold of conscious perception may be called “subliminal”.
The absolutely easiest way to make a recorded message “subliminal” is simply play it so quietly that you cannot (consciously) perceive it.
A slightly more elaborate method would be to record the “message” in Audacity, then import some background music. The imported music will appear as a new track below the recorded message. Then use the track Gain control on the “message” track (Audacity Manual) to reduce the playback level until you can’t hear it.
When you Export the project to create a standard audio file, the two tracks will be mixed together into the one file.