• Search online for a download of HEXDD.WAD v1.1
  
  
• Open the C:\Program Files (x86)\Steam\SteamApps\common\Hexen Deathkings of the Dark Citadel\base\ folder.
  
  
• Right-click the old HEXDD.WAD file and rename it (HEXDD.WAD.old for example).
  
  
• Download and save version 1.1 of HEXDD.WAD into this folder.
  
  
• Start a new game, now with added music! - assuming you downloaded the correct version!

• Highlight this link: ftp:/ftp.gamers.org/pub/idgames/idstuff/hexen, right-click on it, choose Copy then paste it into an Internet browser address bar. Steam breaks the link if you try to click it or use the other copy options.
  
  Alternative link Steam can open: https://ftp.gwdg.de/pub/misc/ftp.idsoftware.com/idstuff/hexen/
  
  
• Download the dkpatch.zip file into your Hexen: Deathkings\base folder: C:\Program Files (x86)\Steam\SteamApps\common\Hexen Deathkings of the Dark Citadel\base\
  
  
• Extract the contents of dkpatch.zip into the \base folder, overwriting existing files when prompted. If you cannot 'unzip' the file you can download 7zip or WinRAR to do this.
  
  
• Click & drag the Patch.exe application file and drop it on the dosbox.exe application file in the same folder. Pressing CTRL+F12 several times will speed up the patching process.
  
  It will show 100% Completed under 'HEXDD.WAD' when finished. Ignore the 'Old File not found.' message under 'README.TXT'.
  
  
• Close the DOSbox window, run the game and enjoy the music.

Using HEXDD.WAD v1.1 with other engines like Zandronum, Doomsday or ZDoom will also fix the missing music problem.

You can compare the WAD file sizes here:
http://doom.wikia.com/wiki/HEXDD.WAD

11th July 2014 - Sent Raven Software a Facebook message asking if they can re-package with the updated WAD file. No reply.