This HAS been answered already, but I'm doing it again, just because.
Use XWE. Create a new WAD. Entry -> Load. Choose the MP3 or OGG you want loaded. Rename it O_MAPxxM, where "xx" is the number of the slot you want to override. (For GFZ1, this is 01; to see what's available, use the TUNES command in the console.) Save. Load the game with the WAD. Open the console. Type TUNES xx, where "xx" is the number of the slot you chose. It should play.
If you're using MIDI, then the lump must be D_MAPxxM, not O_MAPxxM. Also, the title and such use special lump names, which I don't know off the top of my head (I know the title was O_TITLES or something similar), so you'll have to know those if you want to replace them.