Some audio doesn't belong in iTunes. It nees to be kept secret, from others looking at your iTunes library, people using your computer, kids playing with your phone, or simply not wanting it blasting out as part of a random playlist.
For example, if you want to use your iPhone to listen to meditation, self-help or hypnosis audio files, then you might want to keep them private (or perhaps you've recorded yourself in the Oval Office...).
Drag mp3 or m4a files into the "add files" area of iTunes, while your phone is connected. Once they've sync'd and you run the app they become invisible, and cannot be seen without the pin code.
Enter the PIN code (default code is 123) and you can gain access to your sound safe, where audio can be played back. You can also delete files, and change the PIN.