Ah, I can help with that.
When you save a song from AirPlay it typically ends up at the end of your playlist. So either go into the playlist screen to select it (make it the current song) or from the main screen hit the right arrow until you reach that song. You should see a little "tape reel" type of icon next to the song name indicating that it has a sequence.
Now tap the menu button in the lower right corner and from the popup choose 'Recorder.' A transport control window pops up along the bottom of the screen and if you hit the green "play" button it should disappear and the AirPlay song will start to play, with blue dots and all.
When the song is done hit the stop (green) button in the bottom middle of screen. The recorder/transport panel pops up again and you can hit the RTZ (return to zero) button (between ERASE and M buttons on the left) to go back to the beginning of the song.
Hope that helps.
-Jerry