There's also an alternative, when referring to a musical work within a sentence of prose, of giving the name in italics. By way of example, the following is taken from a publication I typeset recently:

"...the Folk-Song Preludes, the Serenade and An Old Song. Warlock seems to be playing a part for which he is not suited. And yet, Capriol is to my mind a masterpiece of invention; when I was nine or so, I thought that the last page of Mattachins was harmonically the most 'modern' thing ever written."

This has the advantage of making it clear whether the title actually starts with a 'The' or 'A'/'An'.