How to make Audio Source on camera continue playing whilst changing scenes?

So I have the music file attached to the main camera as an Audio source, how would I make it continue playing the same music when It changes scenes?

 

If you change scene your Camera and AudioSource will be destroyed, which will stop the sample from playing.
You will need to keep the AudioSource around on an object which doesn't get destroyed.
Object.DontDestroyOnLoad will let you do this: http://docs.unity3d.com/ScriptReference/Object.DontDestroyOnLoad.html

 

So do I do that just on the Camera?
Also the camera is following a player from a 2D side scrolling perspective on some of the scenes and then its the menu camera on other parts, how would I change the camera like that but not let the music stop?

 

No.
Doing this on the camera would mean it survives level loads aswell, which is probably not what you want.
You're probably best using some kind of singleton music manager (Plenty of of examples of Unity singletons around these forums)