Had quite a few PM's on how to do this so, rather than repeating myself over and over, here's the definitive guide

First of all, get the embed code from Soundcloud. It can be found by clicking on the Share tag and looks like this:
<object height="81" width="100%"> <param name="movie" value="
http://player.soundcloud.com/player.swf?url=http%3A%2F%2Fsoundcloud.com%2Fsic_tracks%2Ftaster-what-choice-do-i-have&"></param> <param name="allowscriptaccess" value="always"></param> <embed allowscriptaccess="always" height="81" src="
http://player.soundcloud.com/player.swf?url=http%3A%2F%2Fsoundcloud.com%2Fsic_tracks%2Ftaster-what-choice-do-i-have&" type="application/x-shockwave-flash" width="100%"></embed> </object> <span><a href="
http://soundcloud.com/sic_tracks/taster-what-choice-do-i-have">[sic] 'Chomp'</a> by <a href="
http://soundcloud.com/sic_tracks">[sic]</a></span>
You need the bit that I've enlarged.

Copy it and then put flash tags around it:
[flash=800,82]http://player.soundcloud.com/player.swf?url=http%3A%2F%2Fsoundcloud.com%2Fsic_tracks%2Ftaster-what-choice-do-i-have[/flash]
Make sure you change the flash played size to 800,82. If you're using a Set, try changing the size to 800,160.\
And then it should look like this!
http://player.soundcloud.com/player.swf?url=http%3A%2F%2Fsoundcloud.com%2Fsic_tracks%2Ftaster-what-choice-do-i-have