I tried dragging an episode into a mail message, but that didn't work. Export got me a text file. However, dragging the episode onto my desktop got me an mp3, which I could then drag into a mail message. Assuming the episode you want to send via email is small enough, this should work.
Sending audio episodes longer than about 20 minutes probably wouldn't work through most internet mail service providers. For a dot mac account the message has to be smaller than 10MB. Due to necessary encoding of an attachment, this means the episode file has to be much much smaller than 10MB.
Where is the process breaking down for you?