I pulled out some of the cadences to play in mine on the Xbox. It's a pain transferring them to the Xbox though, have to burn an audio cd and then rip it to the Xbox. Makes me wish I had recorded stuff when I was in band! It would have been useful now.
It's easy on the PS3, I just copied it from my flash drive. I could have just as easily copied it from my computer via the network. Then within the game, you just select which songs you want to play in each situation.