1) is the normal way to do it?
What makes you think that all the audio files are downloades as soon as the page loads? (Whether this happens or you will depend on how the media is embedded. The way you should do that in Moodle is to use Moodle's build in Media file handling - and I would hope the media player it uses would only download the audio files when required, and download them a bit at a time if it is a long file.) However, I don't know exactly how Moodle's medial player works.
Anyway, the place to start is with the Insert media button in the toolbar of the HTML editor.
What makes you think that all the audio files are downloades as soon as the page loads? (Whether this happens or you will depend on how the media is embedded. The way you should do that in Moodle is to use Moodle's build in Media file handling - and I would hope the media player it uses would only download the audio files when required, and download them a bit at a time if it is a long file.) However, I don't know exactly how Moodle's medial player works.
Anyway, the place to start is with the Insert media button in the toolbar of the HTML editor.