Hello and welcome to The GTA Place.
You don't need to download music to your GTA, only if you dont have any but I think this counts as warez, so no.
In all the GTA's, there's a radio station called user tracks, which has a folder to let you put your own music. To do this, copy the mp3 format music you want to be on GTA San Andreas, then paste them in My Documents/GTA San Andreas User Files and in the folder User Tracks.
Then in game, go to Options, Audio and click User Tracks Options, then scan.
Play the game normally and enjoy, if you have any question don't bother to ask me