Foley artists add in sound affects to the movie in post production. examples:

Horse Hooves – Horse shoes would are created using coconut shells on a similar surface to the film.

Rain – rain is created by a bucket of water poured onto a panel.

Punch – Celery covered by a piece of fabric, being smacked onto a cushion creates the perfect sound of a punch impact onto skin, with the celery creating a smack/crack sound.