There is an insert file option, under a menu (maybe process, I forget).
No point in using CDWAV to track a show, Wavelab is perfectly capable.
Side note: When you extract music from a CD using Wavelab it creates
a list of files in a separate window. There is an option in this widow to
join all the tracks together. Perhaps it is possible to create this window
from existing wav files (I have not checked). It would be faster/easier
than inserting each file.