First make sure you already have SoundCloud configured as an external content provider. If you don't you can set it up quick, using this guide.
To convert an iframe, copy it from the SoundCloud element you want to embed, then using the Clym admin navigate to your property. At the top of the property's dashboard there's a Get Code button. Click that, then select SoundCloud, paste the initial iframe and click Generate Code. Then copy your new iframe into you page's source and: voilà! SoundCloud content gets loaded only after obtaining consent.
See you on the safe side