The PSRs series are 2 track audio, which means you can't record on top of an existing mp3 per se (nor can you play back an audio style using the 2 tracks and then record audio simultaneously). Only the Genos, Tyros, and CSP's are designed with 4 track audio in mind (& the ability to 'ping pong', or bounce digital audio indefinitely)
However, there *is* a workaround of sorts: you can put your mp3 on you cell phone/iPod, play it back through the bluetooth audio and then record onto a USB stick or the user drive area (there's 4GB or so for audio recording).
I haven't actually tried this on the sx series, but I've done it on a couple of other bluetooth enabled models and it works.