you can make a _level0 swf that contains your sound. (pre)load the various scenes into another _level or target movieclip and start your loaded timeline(s) playing and your sound.
OK, that sounds like it could work.
Now, this may go beyond the scope of a simple forum post, but what if I wanted to stop that music and start it up again from roughly the same spot? Is the general idea here to create some kind of master SWF file and then use action script to manipulate the various "sub-SWF" files (like the various scenes and the over-arching soundtrack that accompanies them)?
you can control your sound (starting and stopping when and where you like) if you use the sound class to create your sound instance.
and your loaded swfs can be controlled from the _level0 swf by referencing the target _level or movieclip into which they are loaded.