Trust me, you don't want to do wave files on the empeg. It's a nice novelty to have the ability to do it for certain files, but it's not something you want to have it do all the time.
Wave files means that the hard disks will be spun up constantly and will never spin down, increasing the heat and wear/tear on the hard disks. Wave files are also harder to manage and to up/download to/from the player. Also, certain features of the empeg probably won't work like gapless playback and such, because it's working so hard to try to keep the cache full.
And to answer your other question, wave files do not have a tag format like MP3s, so the only way to tag them is by editing their track information in Emplode by hand, after-the-fact.
And then, after all of that work, you won't be able to hear the difference between those wave files and a collection of well-made high bitrate MP3 files.
Finally, there's the capacity issue. If you only have a couple hundred CDs in your collection, then you might be able to fit all of it on the player, but only if you buy two of the biggest and most expensive disk drives. And then you won't have room for any more albums. And since the drives will run constantly, they'll burn themselves out pretty quick, thus requiring that you start the whole procedure over again from the beginning...