Cant you burn wav CD's in Windows Media Player? I'm soooo sure I did it on my buddies PC, pop in the CD-R and autorun will ask you if you want to burn a audio CD, drag-andd-rop files into the window, click make CD, and a wizard will pop up. Win Media Player will then do the converting.
EDIT: hmmm...you did not specifically say you wanted to burn CDs, but uh...I dont see why else you would want to have a bunch of big wav files lying around...anyway, did you try dBpowerAMP or Media Jukebox?