Well it depends, are you more or less liable to get distracted by the music playing? Really though there are so many ways to study Marxism outside of just reading the theory if you find that difficult. Consider trying audiobooks, marxists.org has many works available in audio form. Do not get discouraged comrade.

Edit: I thought that marxists.org had audio books but it turns out I may be wrong, either way it's a great resource and I'm sure there are audiobooks of theory out there.