In the script for "Beavis and Butt-Head Do America" (of which I am a proud owner!), Mike Judge, writer and director, called for the hallucination scene to be set the song 'Fire' by The Crazy World of Arthur Brown. In the end he went with 'Ratfinks, Suicide Tanks and Cannibal Girls' by White Zombie, because Rob Zombie did the animation for that scene.
So, in summary, if the screenplay is for yourself, sure, why not, if it'll help you remember what you were thinking as you wrote it. It'll probably get changed, because you wont be able to afford the rights to the song, but still... However, if you want to sell the script, I wouldn't bother. If you want to reference the music, just put "ROCK SONG" or "DANCE TRACK" or whatever it may be.