Hello, how can I set up a SRV record on my subdomain (play.example.com) so I can make play.example.com work as my server IP. I set up the SRV record on my DNS server, but it is not working. Just setting an A record pointing to the server IP is not working either.

You need A or CNAME. Be aware that changes to DNS can take up to 48 hours to propagate across the Internet. You may be able to speed up this process on your local PC by using

ipconfig /flushdns

but other people will still have to wait, or refresh their local DNS cache.

So, all you really need to do is set the A record on the domain, so it points to the server. It wasn't working before because the SA-MP server browser doesn't support multiple entries pointing to the same server, I removed the IP from my favorites and left only the domain one and it worked.