You can put a .wav file in the NNXT by browsing for it via the browse button on the device...but I'm not sure what you mean by "get it to loop or play the whole thing"?
Ok I see what you mean. You might want to consider adding Record to Reason...you can import audio files into Record/Reason which makes doing what you want to do easy and you would need to import the wav into a device to play it.