You are correct about inserting a .wav file in windows sound recorder in fact you can insert several at one time. The downside is you can only record 1 1/2 minutes of sound without creating a batched together file you use for recording. Both of the programs you mentioned are not only players full length recorders (no time limit) and full featured editors. These programs usually require you open the files by opening the program first unless you associate this file type for whatever particular program you are using. You will find quickly the limitations of windows sound recorder with either of these programs.
The sound recorder in windows xp has a great utility for me---- I can insert any wave file with ease --- I don?t find this in Audacity V 1.2.3 or Goldwave V 5.04----If I am wrong please don?t laugh at my ignorance---- if yes please advice how it is done?

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic