There's really no big difference in using as resource, and externally. As resource just makes the exe bigger. To deal with sounds and music interfering with each other I would make Xaudio global as Sagal suggested, and assign a single channel to music. That way all you have to do is use the Play command under Channel for music, and then you can use Autoplay resource, under Resources for your sounds.
If you reserve your music channel at the beginning of the layout, Autoplay resource will use the next available channel to play your sounds, and they will play over music.
Edit:
I just realized there is no set way to attach a music file to a channel, so you will have to reserve it, then play the file.... Oh Ashley~ I have another suggestion.