I do use on or off (or off of) for songs, but when I do so it is usually in reference to an album.
While it may seem counter-intuitive that both on and off can mean the same thing, it is simply a shift of reference. A song was traditionally stored on an album or single, which was generally equivalent to a unit of physical media (vinyl record, cassette tape, compact disc, etc.). But you can also speak of the song deriving from the album, hence it comes off it:
Rihanna will perform the next single off her latest album.
The song is on Reservoir Dogs
is to say implicitly
The song is on the Reservoir Dogs soundtrack.
The song is on Reservoir Dogs - Original Motion Picture Soundtrack
Now, if we specifically wanted to refer to the film, we would say in, as everything featured in a motion picture is in it (not within): actors, locations, special effects, props, dance numbers, chase scenes, and so on.
The song is [played|used|heard] in Reservoir Dogs.
Strangely, things are on television as much as they are in movies. We say "She appeared on The Tonight Show last week," or "My sister-in-law was on Channel 7 News last night," and would similarly say "They played this song on Scrubs."
By this measure, The Lion Sleeps Tonight is in The Lion King, but not on The Lion King, and Charlie Schlatter was on Ferris Bueller but not in Ferris Bueller.
You could also say from, in the same sense of origination and derivation as off, in which case your audience will assume you refer to whichever media they know the title best from.
"My cat is named Azelma, after the character from Les Misérables."
"Which character was she? Does she sing in the first act?"
"They made Les Misérables into a musical?"