Mike,
Thanks for asking about doing audios for CD.
Most software that burns Audio CDs can convert On The Fly. Meaning, whether it was .WAV or MP3, the software will convert it to Standard Audio CD Format as it burns. So that when it is finished the CD wil play on normal CD Players.
However, if you are concerned, or maybe have some software from download.com that is independent from the software that came with the burner, then keep them as .WAV files.
Michael Ross
P.S. There is a "How To Make An Audio CD" hotsheet available at
www.hotsheetcity.com - it's third from the bottom.