One method is to create a single song playlist in iTunes, or on your iPod of choice to facilitate this. Seems like you could give each appropriate playlist with a single relevant song an intuitive name for your dance classes, a la....
Tango! Merengue! Salsa! Cumbia!
want to play a single track and then stop and not go on to the next track.
When I am teaching a dance, I want to play one track and then stop.
Which players have this mode of operation.