I found out why I had problems getting CocoModX to play my songs.
I had an old playlist, the files had moved to a different path (I don't remember that I did that, but I probably did), so whenever I dragged a file onto the playlist, it thought that I already had that file in the library, and the library one was picked.
Now... Since the files had moved, it could not find the files, so if you get a big red X in the left side, trash you playlist, and create a new one.
Also try turning off automatic switch, and set the player to for instance MikMod. After I did all this, it started playing. =)
The app works great, however, I still have to figure out how to get the TFMX playing.