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No, you cant... :(
Tis a shame... You were meant to do this but it turns out SONY have not put it in the OS yet.
It will be on an update soon, probably in the next one or one after that as loads of people have asked for it.
There are two things you canot do but will be able to soon:
Listen to your own CDs/installed tracks whilst playing another game
and
Download/copy tracks from an existing game.
personally, I'd love that Call of Duty music, the one when you are online.
Its superbly melodic and pretty haunting.
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