Currently, you can't, not with Sigil
<audio> and <video> tag are Apple's proprietary ... and, as they are not part of the standard, Sigil cuts them out.
It's already planned for a change of behaviour ... see
Issue 917 on Sigil's tracker
EDIT: ok, my mistake, they are not Apple's, they are part of HTML5, but obviously still not part of current EPUB specs.