Actually, it was not possible earlier to download the music to Windows Phone devices from OneDrive, but it can be done now, as shown in the above screenshot.
What you need to do for uploading music to OneDrive is,
1) Tap on OneDrive app on your Windows Phone
2) For uploading music, click on the upload button and then when it asks you to chose from place to get music to upload, chose Phone and the Music. Now, you can upload your Music. You can create a new folder for your music collection.
3) Else, you can use File manager and go to Music files and share them to OneDrive
3) It is easier to upload Music from your PC and you can just open the Onedrive in your browser and upload music from your PC.
What you need to do for downloading music from OneDrive is,
1) Once the music is uploaded to OneDrive, you can stream and download it on all your Windows Phone and Windows devices.
2) You can use OneDrive app to download on your Windows Phone as shown in the above screenshot.
3) In case of PC, it will automatically sync to your OneDrive folder, if you have configured the OneDrive app, else you can open OneDrive in your browser.