Yes! In Settings> Embeddable Player you will see a link to your episode's embeddable player, an embeddable iframe, AND a direct link to your episode mp3.
You can preview the player and grab the code as soon as you fill out the "Metadata" tab in Podcasts. However, the embeddable player will appear blank until the episode is actually published in your feed.
We have a few tips when using the embeddable player or otherwise publishing your podcast to your website or your own player. There are a few things you need to do when using a custom embed player to have your downloads and ad impressions follow the IAB standards for podcast measurement.