Place it immediately after the wrong answer appears on screen, then follow it with a short reaction sound to let the miss sink in before the next question. A quick Nope works as the follow-up, while a Danger Alarm works if you want a bigger warning before moving on.
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This under-a-second clip is the error sound from Gruntilda's quiz in Banjo-Kazooie, marking a wrong answer in the game. It feels cheeky and instantly deflating, like being caught out in front of everyone, and it lands because players who remember the witch's quiz recognise the cue at once.