Yeah, it's pulling teeth to "trick" a DVD into taking wav.files- you have to transcode them into something else. I've so far been delighted with Eximius' DVD+Audio software ($50 Euros or so, but well worth it). You could also use Nero or BeSweet to transcode your music to 48 khz, the native rate that DVD uses.
I haven't tried MP3 on DVD. It can easily be done, but I'm not sure if the resulting disc is a computer disc that must be played back on a computer or whether a DVD deck will play them.