It's funny, but this question is something that only someone who doesn't speak English would worry about. It's hilarious how we, when learning a foreign language, get so involved in something that has almost no significance. They sing, they talk and then they sing again. It's over! And how about in between songs (without the the) and between songs. The questions are endless, and I can feel myself being drawn into them when I'm learning something new.
Having said that, in-between the songs is wrong, because in-between is really an adjective or a noun, not an adverb or adverbial phrase. But if you wrote it most people wouldn't notice, or if they did, couldn't care less if it's wrong or not. English people think commonly, "Is there a hyphen in there?" And unless it's a vital piece of information, they really don't care whether there is or not. And sometimes, with hyphens it CAN be right with or without a hyphen! So, example 1 and 3 are right!