Another thing you could try, if you don't mind the extra effort, is embedding the media on the page using the <audio> tag, which you can do with the WYSIWYG. It's a slight faff but not too tricky.

There's an example here with some instructions.

Personally I'd just stick to adding them into folders in Our Files rather than making links to each file, as it's easier from an admin/maintenance point of view. But that's up to you really! :-)

Thanks

Joe