Have a different opinion than Varun. Perhaps because I'm a musician, audio quality is very important. I will always import the wav file into the library, when published Captivate will compress those files into mp3-files. So the wav will never end up in the published files but you'll keep the 'raw' files together in the cptx-file. Only if you really have trouble with manipulating the CPTX would I convert the wav to mp3 myself.
Sorry, Varun, will always import Photoshop directly as well and let CP convert the layers to PNG, for the same reason: trying to keep the best quality source files.
Lilybiri