In Chrome, go to the playlist page. Hit CTRL + SHIFT + C and the Firebug/Inspect element panel opens. Click on the Network tab. Hit play on the file you want in the playlist. A link that looks like files.podsnack.net/playlists/tracks/...... should show up in the left-hand column of the Network tab. Right click that link and says "Copy link address". Now, you have the link you want.
To test it, you can paste the link in your browser address bar and go to it and it should take you to a screen with a default mp3 player that plays the track you want. This means you're good and it should work in the audio tag of the theme.