Just been doing this with some wav files from some vinyl rips I did. You can drag and drop each individual wav file into your burning software in the cd track list order.
Or place the track number at the beginning of the wav file name i.e. 1Hotel California etc. so when you open a file to be burnt the tracks are in order.
Also you should be able to move the files up and down within the cd writing software to create your own tracklisting, in this case the album track list. , I was able to do it in nero and can do it in K3b on linux.
Wav files dont have a tag system that is used in mp3 (id3) or flac (flac/vorbis).
Hope this helps