They didn't. Plays back then were normally preformed in a circular room so the sounds would bounce off the wall and be more loud. But if you're talking about like crash sounds etc. well they didn't...
Some of the special effects used by Shakespeare included cannon, trapdoors, wires, ropes and harnesses, fireworks, flowers and petals, music, live animals, bones, intestines and blood of dead animals.
From the fact that two quarto editions were printed in Shakespeare's lifetime, it appears to have been reasonably successful, so he was likely satisfied with it as a moneymaker.