You can embed SoundCloud in your WordPress posts using WordPress feature oEmbed. It supports auto embedding until your URL breaks the line. WP oEmbed library supports Twitter, YouTube and many other popular services. SoundCloud is not yet supported by WordPress but still you have it by using oEmbed with the help of this function: wp_oembed_add_provider()
Adding oEmbed for SoundCloud in WordPress:
Open your theme’s function.php file and add the following code:
wp_oembed_add_provider( ‘http://soundcloud.com/*’, ‘http://soundcloud.com/oembed’ );
All done. Now you can simply paste SoundCloud URL on separate line and let oEmbed do auto-embedding.
Using WordPress Plugin:
You may also use this WordPress Plugin SoundCloud is Gold.
If you are running your blog on WordPress.Com then you may use the shortcode available for all WordPress.Com users because Sound Cloud is officially supported by WordPress.Com.
If you have a self hosted blog then you may use JetPack plugin and enable option for shortcode embeds. After doing this you can easily use the shortcode as shown here: