The player can play WAV (RIFF) audio files, which roughly correspond to what's on the CD, and are what every CD ripper I know gives as output by default.

Not only do you generate extra heat by reading more from the CD, you will also decrease the lifespan of your drives due to keeping them running continuously. They are more likely to be affected by bumps in the road, for example.

I don't think that adding tags to WAV files works for uploading onto the player - you would need to add the tags in (J)Emplode after uploading. Searching, etc, would all work correctly once you have done so.

Caveat: I've never felt the urge to try uploading WAV files, so others may be more authoritative.