There are two options for embedding audio onto your Wordpress site:
You can download the Omny.fm Wordpress plugin here and then use the "embed" block to simply copy and paste the omny.fm url for the clip you'd like to place an embed for. This is using oEmbed to pull in the details needed to build a player from the URL.
2) If you'd like to embed an Omny playlist or clip player, you can use the full iFrame code and select custom HTML here:
then paste the iFrame code:
And select preview to see how it looks!