Just turn off the in-game music and turn on your cd player or media player play list. At least in windows this works well and is what I generally do. I had one huge play list that included music from Wesnoth, Age of Wonders and several Bioware games (Never Winter Nights, Baulder's Gate, Icewind Dale, etc) that I used before my old system exploded in a great ball of smoke, fire and sparks.
Much easier than replacing the existing music files.