No, you are quite right about that. That's why, for this sort of thing, I sometimes use a separate CDN (content delivery network) to host the files themselves, as they charge a lot less for bandwidth. (You just sign up for an account, upload your files, link to them and there's a very small charge per download ... in the cents.)
But yes, it's still a cost, which makes things like YouTube so attractive. I just had a look at Sound Cloud, and like a lot of sites, it makes a complete mess of trying to explain how it works. :nono:
I'd be interested to know if there's something better out there.