It is possible to do this IIRC, but you have to manually write the resource file script (a little pain). Create a text file with a .rc extension ("myfile.rc"). Enter the following sort-of-stuff into it:

my_wave_name WAVE moo.wav
my_other_wave WAVE somefile.wav
yet_another WAVE thirdsound.wav

...and so on.

As an alternative to writing rc files, i found a great resource editor, free and with Delphi source code. i have'nt really used it much except for changing icons around so i don't know if it will work with wave files or anything, but could be worth a try

the URL is:
http://www.wilsonc.demon.co.uk/d7resourceexplorer.htm