It's my understanding that WAV is a lossless but has NO compression, so you will have very large file sizes. There are other lossless formats (FFLAC, WMA, etc) that will be much smaller file sizes at the same quality, but you have to select the player that works with whichever format you select.
Finally, if you're concerned about audio quality enough to think you'll be able to appreciate lossless vs even 192kb files, then you'll find that the 'bottleneck' for audio quality coming out of devices is the DAC chip in the player itself. If you are for REAL seriously concerned with audio quality, then the optimal solution seems to be a portable player with a line out going to a portable headphone amp.
I'm pretty sure that message may have not helped very much at all
but I did want to point out that WAV wasn't an optimal format.