How do I change media links to a outside media server?

I’m curious to know if it’s possible to change the link properties to an outside media server for MP3’s I want on my site.

For example: I have a theme that has a music player on it and I don’t want to fill my hosting server with a bunch of tracks which would slow down my server, so I would like to instead have links from my DropBox in place of the media links. Like after uploading a track to my server to change that said medias link somewhere else so that the media still populates in the right place.

Hopefully this makes sense.