First of all, you need to remember that when you are recording a song in the Kurzweil, you are not recording audio, you are recording MIDI information.
It is important to understand that MIDI has NOTHING to do with audio. All MIDI consists of is remote control info - a record of what keys you played, what buttons you pressed, etc. When the MIDI information is sent back to the instrument, it is the sound module part of the instrument that then creates the sound.
Therefore, in order to make a .WAV file, you are going to have to make a digital audio recording of the song while it is playing in the Kurzweil. You can either record to an external device, or to the Kurzweil itself. If you have digital audio recording equipment, you may find it simplest to record to this external equipment.
One way would be to use digital audio recording software and a good quality audio recording card for your computer. Then you connect the Kurzweil to the audio recording card, start playing the song on your Kurzweil, and record just as you would if you were recording to a tape recorder. Once you have recorded the audio into the computer, you can save it in .WAV format, and use software to burn a CD with the .WAV files.
If you don't have access to other digital audio recording equipment, or just wish to do everything within the Kurzweil, it is possible to resample the song into the Kurzweil while it is playing. In order to do this, you must have a K2500 or K2600 with the sampling option, and enough sample RAM to make a sample of the entire song. (The K2000 series instruments do not have the ability to resample themselves.)