Here's a hint: You can click the file and hit the space bar to listen to it in Quick Look.
That works if you're dedicated to listening, but it's vulnerable to multi-tasking.
If the mp3 is on your desktop, doing anything Finder related will change QuickLook's focus, and you'll have lost your place when you get back to it.
And further, QuickLook can't play through external speakers.
There's actually no easy answer to kevs's question if he wants to listen to the mp3 only once and not
save it. Changing "Open with" actually requires more effort than either deleting the file from Music/iTunes or using QuickTime Player and is efficient only if the mp3 is being saved.