The easiest way I have found, if your using Windows 8.1 is to share them to your device. If the 925 is still running Windows phone 8.0, not 8.1. (the feature is currently broken in windows phone 8.1)
choose the songs / playlists/ albums you want to put on the phone, make sure you have the modern connector app from the app store installed. open your charms bar and choose "share" Windows phone will be listed in there, select that and whala, it will start to copy the music to the device.
now, if Microsoft will get out an updated link app for windows phone 8.1 I might be a bit more happy about the whole state of xbox music.