First time, you just open the wave (cause ya got no cue sheet). Do all your splits and then save the cuesheet - it's the 'map' of your splits. Then if you decide to change your splits, you can re-open at any time and not have to redo it.
I only save the whole wave file and cue sheet for archiving my masters - I don't even bother with individual tracks.
And if you use EAC for burning, you can just drag the cue sheet over and it will reference the big wave file and burn it properly.