@PMC
OS3.9 comes with Amplifier as standard, not AmigaAmp. Amplifier is less cpu intensive, so will be more use to you on your 040. I've no problems playing full quality using an 060/66 and a PCI soundcard, and the machine isn't completely useless for other tasks too. However, even though a lot of the players use mpega.library, not all of them have the same CPU usage. For example, I've found SongPlayer to be by far the best on the CPU (Yes, much, much better than AmiNetRadio), though only in older versions. Newer versions chug and skip and aren't up to it really. It may not be the prettiest, but I use 1.53, and it's the only player I know that is 100% responsive on all controls. And I've tried nearly them all...
I do think the MAS would be a much better option though, Amplifier and AmigaAmp support it, and it'll always give excellent quality for a tiny number of CPU cycles.