It is preferable to locate a speech in a retrievable source (e.g. in a book, website, video, etc.), and then cite that source.
Example 1: In a Book
Safire, W. (Ed.). (1997). Lend me your ears: Great speeches in history. W.W. Norton.
(Safire, 1997)
Example 2: Transcript on the Internet
The Avalon Project. (n.d.). I have a dream by Martin Luther King, Jr; August 28, 1963. Yale Law School. http://www.usconstitution.net/dream.html
(The Avalon Project, n.d.)
Example 3: YouTube Video
EDM is LIFE. (2017, January 6). I have a dream speech full video - Martin Luther King, Jr [Video]. YouTube. http://www.youtube.com/watch?v=weEb9S6YyQs
(EDM is LIFE, 2017)
Example 4: From Vital Speeches of the Day
Manschreck, C. L. (1971). My conscience is bound by the word of God. Vital Speeches of the Day, 37(17), 540–545.
(Manschreck, 1971)
Example 5: Audio Recording
King, M. L., Jr. (1963, August 28). I have a dream [Speech audio recording]. American Rhetoric. https://www.americanrhetoric.com/speeches/mlkihaveadream.htm
(King, 1963)