I am at a loss of words to describing to my host family why I sometimes listen to "bad" or embarrassing music.
Is there a japanese phrase that can help me tell them it's a "guilty pleasure" of mine?
As Igor Skochinsky points out, there are some pre-existing translations of this phrase.
Many phrases, both idiomatic and otherwise, have been translated from one language into another because the target language doesn't have a word or phrase that means the exact same thing. In Japanese, these words are sometimes called 訳語 or 翻訳語 (yakugo or hon'yakugo, meaning "translation words").
Sometimes, if a translation word is used frequently enough, it becomes part of the standard lexicon. For example,
Not all translation words (or phrases) integrate into the language as well as
Weblio EJJE lists a fourth choice:
Does that mean you can't use any of these phrases? No, but I don't think the intended meaning is entirely compositional, so unless they're familiar with the English idiom and they realize you're translating it, you might have to explain what you mean after you say it.
Thankfully, besides giving a loan translation, Weblio EJJE also gives an explanation:
That works pretty well, I think. Whether you want to use a loan translation like one of the above or not is up to you, but my advice is be prepared to explain it either way. That way you'll be understood even if the person you're talking to doesn't quite understand the term you used.
A good source for slang or idioms is the Eijiro dictionary (英辞郎), which you can look up online over at Space ALC. (But you should check the results carefully.) Right now it offers three choices for "guilty pleasure":
See also this discussion.