There is no reason the DAC or ADC can't internally do the resampling itself. In fact, most take it to the extreme - they resample to several MHz, but at 1 bit per sample, with noise shaped dithering as explained in the video linked elsewhere. They then have a very simple analog low pass filter - the noise is shaped far into the stop band of the filter.

That is no reason to store or even process your music at higher rates, though.