You don't need a SM to transfer files...you can import/export form the "User" area...however, you'll quickly discover how piddly the user area is and what a pain in the ass it is. SM card is practically a necessity.
Go to FILE - USB - Internal...follow manual from there, you just click and drag your wav into the TEMP folder that is in the Windows F:Drive folder, then close it out and EXIT the USB screen. Then go to SAMPLING - FILE - IMPORT SAMPLE/WAV, and you'll see them. Highlight and enter.
If you don't have a manual, you should get one...I'm going from memory here, but I think it's covered in there.