A small thing (I think). When a potential target comes in range of a fire and forget missile, there's a gentle ping.
A similar aural hint – say a short but urgent klaxton - would be useful when someone gets a lock on you; the Lock light alone is often missed until it's too late.
Possibly a single sound for a friendly lock and double for hostile. Multiple locks could be chained (if enough sound channels are available) to heighten the sense of urgency.