Upload then link the files manually?

Yes, you just need to put the theme function to use with the path or URL to the player. Something like this is what I use in a view:

<?php
$mp3link = url('path/to/your/mp3/file.mp3', array('absolute' => TRUE));
$artist = user_load($node->uid);
$podcast_link = '<div class="podcastplayer">';
$podcast_link .= theme('mp3player', 'Default', $mp3link, $node->title, $artist, ''); 
$podcast_link .= '</div><div class="podcast-link">';
$podcast_link .= l('Direct link to MP3', 
                          $mp3link, 
                          array('title' => 'Download the MP3 - Right click and choose save as..'));
$podcast_link .= '</div>';

//... then where you need to put the player
print $podcast_link;
?>

Thanks bonked, Vako also read up on the documentation: http://drupal.org/node/361984.