How do you set the iPhone to play music/audio while asleep? Is it possible to set the iPhone to play music/audio while asleep? If so, how do you configure it?

EDIT:

I don't mean locking the phone or turning the screen off. When I play an audio file (for instance, http://m.insightforliving.ca/current-broadcast) and the phone goes to sleep (I think it's called deep sleep), the audio stops playing. Is there a way of setting it up in iPhone that the audio keeps playing even in deep sleep?
EDIT:
In this case it sounds like we want to disable auto-lock. This can be done by opening Settings.app, going to General, then scrolling down to "Auto-Lock". Set this to "Never". 



It is possible use the speakers on iPhone to play even when the device is locked. This is possible by:


Opening Music.app
Select song/album/playlist
Lock the device. The music will continue to play.


You can also double tap the home button when the device is locked to show play/pause controls for the last-played music.

Also, other apps continue to play when the device is locked such as Voice Memos.

Note: all audio will shut off when the phone is powered off.