How would you go about multisessioning other audio files? Multisessioning is something that works with the CD, not the actual files. If you attempt to burn an audio CD with Nero, for example, all the audio files will be converted to a common that meets the Audio CD specifications, and then burnt onto the CD.
If you're trying to make a Data CD with audio files, it's an entirely different matter. Many hi-fi systems won't play these, although most DVD players, MP3 players and, of course, computers will.
If your devices will play multisessioned data CDs with MP3 files, for example, then why not convert the wav files to mp3 and burn them as normal?