I'm having the same issue - I use audio acrobat to host my audio and they use iframes for accessing their site. WordPress simply doesn't like iframes (this according to audioacrobat's website) and will simply erase the code. Very annoying.
I do find that if I enter the code as the very last thing I do, save it and close the page or post - the iframe code is still there and works. But if I have to reopen the post - for ANY reason, even just to add a comma or correct spelling. The next save deletes the code. I've been going to older saves and copying the code from there - but this is a real pain in the butt.
Is there a plugin or workaround? I can create a download link for the mp3, no problem. But I want to give people a way to just play the audio recording while in the post.
Looking for a good workaround for this. And ideally not one where I upload the mp3 to the site and use a player plugin - but if that's the only fix, I can do that.