A preview file is an audio file that shows your customer the content of the audio products you are selling. WooCommerce uploads the downloadable files to a special folder that is not accessible unless you buy the product. For that reason, it is necessary to upload different audio files that can be safely incorporated into the pages of your website without worrying about possible unauthorized access to valuable resources. Preview files allow you to upload a lower-quality or a shorter or audio-watermarked version of your downloadable files so that you are always sure that nobody can access the high-quality tracks you are selling.
Please consider that, due to most web server limitations, WavePlayer cannot generate preview files from the downloadable files. That is something you have to do yourself, uploading separate files for download and for preview.
If you want to learn how to add preview files to your products, you can read our knowledge base article about working with WooCommerce.