It took me a few hours to solve this problem. I didn't have any success to find the solution on the internet. Turns out, I had the "Media volume" turned off.
So if you have sound on the emulator, but not on the phone, try this:
Go to Settings->Sound->Volume and check that "Media volume" is not muted.
And also make sure that you use the .ogg file format (many on the forums wrote that they have problems with wav and mp3 files).
So that's it. I hope I saved a bit of your time.
