Gap-less playback from SD is always a challenge. Even the .play() function might be fast enough, at least the .setFile() function will always do a lot of searching through the FAT filesystem. First try to play the same file again and again using a loop like:
while(1) {
if(SdPlay.isStopped()) SdPlay.play();
}
If this works ok for you, you might youself patch the library in a way that the information that is retrieved by setFile is stored somewhere in RAM and used for quicker change of the file to playback. But this might be not the right starting-project for beginners...