Another solution which I use in a small "sound library" tool I have is simply to use a TASyncProcess (or just TProcess) to call SoX in play mode. Sox is almost ideal for this because it's small has lots of features (though I just use the "play" part) and is multi-platform.
Drawback, of course, is that you need to install it in the target computer along with your application.
Note that you can use your own preferred command-line player this way; it need not be sox.