WAVPack can be freely downloaded from the link below

WAVPack.zip (438 kB)

WAVPack is a small utility that packs a set of WAV files together into a self-extracting executable file (using MP3 compression).
WAVPack is actually just a wrapper made in Delphi around the LAME and MPG123 tools. Use is free and falls under licenses for these two tools. UPX is also used for compressing redistribution executable.

The GUI is minimal, sorry about that, with DOS boxes popping around during the compression phase, but it is self-explanatory.
The generated SFX files will recreate the WAVs into the directory they are run into, original path information is NOT preserved.

Enjoy!