Well hi there! Someone asked me an interesting questions today. They wanted to know how to embed audio into their WordPress site. Honestly it's really simple like really really simple. In fact, it works with WordPress out of the box. No plugins required. You can copy a song url from SoundCloud paste it into your post and it's done. I've created a video showing how simple it is.
If you need extra control I suggest looking for a few SoundCloud plugins like the SoundCloud Shortcode plugin.
One thing I didn't mention in the video is that an added bonus is that SoundCloud does all of the hosting for you. So if it's a popular file it doesn't affect your bandwidth (hosting costs). It also makes everything load faster since it's coming from a different IP address.