With a limit of 8MB for 6 million songs, there's plainly not room to store even a single 32 bit integer for each song. Unless you're prepared to store the list on disk (in which case, see below).
If you're prepared to drop the requirement that new items be immediately added to the shuffle, you can generate an LCG over the current set of songs, then when that is exhausted, generate a new LCG over only the songs that were added since you began. Rinse and repeat until you no longer have any new songs. You can also use this rather cool algorithm that generates an unguessable permutation over an arbitrary range without storing it.
If you're prepared to relax the requirement of 8MB ram for 6 million songs, or to go to disk (for example, by memory mapping), you could generate the sequence from 1..n at the beginning, shuffle it with fisher-yates, and whenever a new song is added, pick a random element from the so-far-unplayed section, insert the new ID there, and append the original ID to the end of the list.
If you don't care much about computational efficiency, you could store a bitmap of all songs, and repeatedly pick IDs uniformly at random until you find one you haven't played yet. This would take 6 million tries to find the last song (on average), which is still damn fast on a modern CPU.