I know some people like to do it as an artistic choice, but I've never really been into it myself. Writing just isn't the same as movies, and you can't pace the music to how any given person will necessarily read the text, either in speed or visual interpretation. Plus, depending on how they react to music, they might end up emoting in a way that's different to how you think they would for the scene, and it may be more jarring than not. Likewise, especially if the song has lyrics, it may even distract their thoughts from the text and cause them to unintentionally skip over words as their focus lapses. Otherwise, not everyone really thinks about themes or relates them to a work as they read, and songs can often be very subjective anyway, thus you might think the song resonates with the scene in one sense, when a reader might misinterpret the theme thanks to their own connection to the song being different.
That's not to say you shouldn't do it, though. All of the above conflict can be avoided by the reader just reading the story, then going back to click the song link, or vice versa, and piecing them together after the fact at their own pace. Maybe as something to put in the author's notes, as it were.
In any case, I would treat it more as a side gimmick, rather than expect it to be key to the experience. But that's just me. I'm the kind of guy who turns the music and sound off with most video games so I can listen to podcasts instead and tends not to notice music in movies unless its either really well crafted to the scene or really obnoxious, so I suppose I don't value it as part of the experience as much.