Somebody told me that I need a thing called Toast to produce audio CDs and that the machines themselves don't come with the software to do it?
I think Scott (SCB) hit the nail on the head that you are making data discs, not audio CD's by using the Finder. Toast gives you quite a bit more control than iTunes, but iTunes is totally adequate to get the job done. You will need to drag the original WAV file(s) into the left-side pane on iTunes, which will make it into a "Playlist" which can then be burned to disc. Once the playlist is created, you can rearrange, add and remove tracks as you like, and then click BURN to actually make the disc.
CD-R is the correct blank to burn on a computer, it will play on any standard CD player. There are also "Music CD-R" discs which are the only type which can be burned in a consumer standalone CD burner. They cost more because they include a bogus surcharge which supposedly goes to the music industry to offset all the lost income from illegal copying, so don't use 'em if you can help it.