It does it automacitally.
E.g., if in pOS prefs, you set your handheld to auto-off after 30 seconds, then select a track, and if you don't touch any buttons or the screen for 30 seconds, pOS will auto-off your device, turn off the screen, but reaplyaer will continue play the current track and move on to the next through your list of songs.
As u figured by now, u can't do it manually, as pressing the poweroff turns off the screen, but also turns off the MP3 playback.
Also, other mp3 players may have a just-screen-off feature. Another freeware MP3 player for plma is DioPlayer (find using google). Shareware mp3 players include Busker, AeroPlayer, and PocketTunes (they ahve trials and list their features online). You could always email the devs about this feature if need be.
You may want to install a launchher (ther are freeware apps avaialable) so u can quickly and easily (rather than navigating alot of menus) set auto-off in Prefs to 30 secn when playing mp3 and higher doing other stuff