How you cite a song depends on how you accessed it. If you listened to the song on physical media like a vinyl album or CD, follow the MLA format template. List the performer or band as the author and then the title of the song. List the name of the album as the title of the container and then provide the publication details for the album. In the optional-element slot at the end of the entry, indicate the format:

Snail Mail. “Thinning.” Habit, Sister Polygon Records, 2016. Vinyl EP.

If you listened to the song through a music streaming service, provide the name of the platform as the title of the container, the publisher of the site (if any), and the URL:

Snail Mail. “Thinning.” Bandcamp, snailmailbaltimore.bandcamp.com.

To learn how to document a song that you downloaded from an app like iTunes, see this post.