The fife and drums commonly played either together, where they would form a fife and drum corps - and Waterloo portrays that pretty accurately - bringing some musical umph, as well as pacing and rhythmn, to large line infantry formations on the field.

They could obviously also play separately if required - sometimes all you needed were the drums to beat the march, for example.

Cavalry and light infantry (the Rifles for example) both bought buglers (or cornets) with them, more for direction/instruction than music though.

The Rifles officers also used whistles, but that's definitely not for anything other than transmitting orders.

One thing in Waterloo is the scene with the Highland regiments going forward, in this we see what could be compared to modern day Highland pipe & drum bands arrayed before their battalions - this is one of the few things the film gets wrong, as such accompanying bodies didn't exist until later in the British army.

So, in summary, they didn't bring 'marching bands' - which sounds very modern and American to me - but they were accompanied by their respective musical personnel, as Waterloo rightly shows, for the threefold purpose of morale, music and direction/instruction, such as keeping step, the tempo and thus pace of the marches and so on.

I hope that answers your query?