So I just had this same question and I figured out the solution.
In my situation, I have a single presentation where I want different audio files to play at different points in the presentation, and I needed it to continue playing the audio file while switching between multiple slides.
1) Create Presentation
2) In the Presentation Editor, select the slide where you want the audio to begin
3) Add the audio to the slide (Media -> Audio -> Select Audio Object)
-This adds the Audio Icon to the Slide
4) Click the Audio Icon so that it is selected
5) Click Inspector (The inspector opens to the Info section)
6) Select "Media" at the bottom of the Inspector Dialog
7) Set "Media Usage" to the first option that looks like a picture rather than the seconds option that looks like a movie take prop. (The Picture is Background and the Movie Take prop is Foreground)
8) Set any other settings desired such as Repeat settings
9) Leave the inspector open and select the next Slide that you want the audio to continue to play in
10) Add the audio to this slide as well (Media -> Audio -> Select Audio Object)
11) In the Inspector, Set "Media Usage" to the first option that looks like a picture (Background) as well as any additional desired settings.
12) Repeat steps 9 - 11 for all slides that you which the same audio to continue to play through
13) Once last slide has been set close the Inspector Dialog and click OK to save the presentation
Now the Audio will start playing with the first slide where the Audio is added and will stop when switching off of the last slide where the audio is added. You can also use this method to add multiple audios. (IE: Audio1 to slides 2-5, and Audio2 to slides 7-10)