When you want to add an object (like a prop or a light) to a particular shot, you do so by creating an animation set for it in the Animation Set Editor.
Tip: Because shots exist as separate entities, adding an animation set to one shot does not add it to any other shots. Because of this, it's a good idea to create one master shot with all the elements you want in it before blading (splitting) it into smaller shots. That way, the smaller shots will already contain the elements you want to work with.
You can add animation sets for various kinds of objects: character and prop models, lights, cameras, and particle systems.
You can also add animation sets for elements from gameplay you've recorded, as a way to make those elements visible in the Animation Set Editor so you can modify their animation.
After you've created an animation set, you can select specific controls inside that animation set to modify your object's animation.
Note: Selecting a control in one location selects it everywhere it's visible, and modifying that control modifies it everywhere it's visible. Thus, selecting and modifying a control in the Graph Editor is reflected by changes in the viewport and the control's slider in the Controls panel, dragging a control's slider in the Controls panel changes what you see in the Motion Editor and the viewport, and so on. The various parts of the UI update immediately to reflect changes made to controls in other parts of the UI.