As far as I can tell there isn't a way, but that is definitely a feature they should add. I don't see why if we have a Music folder on out Skydrive the music app shouldn't recognize it and add the songs to our collection as long as we have connection to Skydrive, at least for me this would solve the problem of not having enough storage on my phone. As it stands I have ~8GB of free space on my phone, but nothing to do with it because I don't want to completely fill my phone with music and have no more room for photos and apps.
I guess you should try audio book players I recommend Digital Audio Book player and Bard I use both former for my audio books and later for music. With Bard I can not only download music but can also listen without downloading. Hope this helps