Ahh, but you didn't ask that. If you search for music in the Keynote Help, you will find...it doesn't play for the whole project
...something that I didn't know until just now.To add a soundtrack:
Click Inspector in the toolbar, and then click the Document Inspector button.
Click the Audio button.
Drag an audio file or playlist from the Media Browser to the Audio well in the Document Inspector. If you change a playlist, the change wont be reflected in your soundtrack until you add the playlist again.
You can also drag a sound file from the Finder.
To repeat the sound file as long as the presentation is playing, choose Loop from the pop-up menu in the Document Inspector.