I've been doing it in various ways - one with the help of instantaudio.com, but that's not free. Another way is to record the sound file using your own pc (using something like Audacity), saving it as an mp3 file, and then uploading it to a server somewhere.
Now, if you go to VIEW > SOURCE, or PAGE SOURCE in the menu at the top of your browser you can see the code for this page. Look for the bit of code that starts with 'embed'. Cut and paste that bit of code into your blog, and change the URL so that it points to the sound file that you have uploaded, and you should see your sound file embedded in your page.