Inserting an audio file (e.g. a wav file) into Word 2007 and expecting it to convert to a playable embedded file in PDF won't work (at least I couldn't get it to work).
Instead you have to embed it as a Flash file (flash is a multi media format) using Adobe Acrobat. This is not ideal as each edit within Word means you'll have to repeat the process during PDF conversion.
However the flash player builtin to PDF is pretty good. Learn more about how to do this back at the website.