An audio insert is a generator module that routes audio from an analog hardware input into your set.
When you drag an audio insert in from the library, its channel is set to "none" by defualt. From the dropdown select an input that corresponds to a hardware input.
You can adjust the volume, add FX, and do lots of interesting things with audio inserts. You could even add them to sequencers or hit controllers!
You can also change the input type to match the physical device you're using: an aux input, synth, mixer, microphone, or guitar.