Trying to turn all of my posts into a soundcloud playlist and can’t figure out where to start

I would use Custom Meta Post Boxes as seen in this tutorial:
http://www.smashingmagazine.com/2011/10/create-custom-post-meta-boxes-wordpress/

You can add your own “Soundcloud ID” field which is entered in each post in a separate box. That will expose the needed data to your theme files in a much easier way. From here you can adjust your single post and archive templates to include the embedded soundcloud player using the provided ID.

If you want a radio station with all the posts you can just loop through the IDs using the archive. Don’t forget to increase the post limit if you want all songs to appear.