This feature is available on commercial or portfolio licensed themes. If you are on a regular or free-to-use license, your theme does not contain this option.
1. Go to the 'Edit theme' page. Most likely, your-blog-url.tumblr.com/customize
2. Locate 'SoundCloud music player URL'
3. Find your favorite music on SoundCloud, and copy the URL.
4. Add it to the inbox.
5. Update and save.
* Autoplay is available.