Not necessarily true. There's a kernel extension called
InsomniaX that will prevent your laptop from going to sleep with the lid closed.
StretchR has a point however, your machine will run slightly warmer with the lid closed. You're probably okay to play music that way, but I wouldn't leave anything running that'll kick up the heat much.
You can also google for Macbook and Clamshell for information about running your machine with the lid closed while connected to an external monitor and keyboard/mouse. There's at least one thread on this forum about this...