If the CD player your going to use to listen to the music is mp3 compatable, you can convert the files to mp3, and burn them to disc.
I would suggest that you make copies of the wav files, and convert them to mp3. and save the originals.
That way, if anything goes wrong with the conversion, you still have the originals to try again.
Just burn the originals to CD, and save them somewhere safe.
If the player is not mp3 compatable, just burn the wav's to CD, and they should work in the player.
Then as I said earlier, make copies of the wav's, convert them to mp3, and your grandson should be able to transfer them from the computer, to his player, using the software supplied with his mp3 player.
What
foozie said is partially correct.
A lot of people associate file sharing with pirating of copywrited material, which is not always the case.
There are a lot of files, that are perfectly legal to share.
Material whose copywrites have expired, somebodys personal work, that they want to get out to as many people as possible, new bands, that aren't under contract with a recording label, that want to get there music heard, etc., are examples of files, that are legal to share.
The problems start, when you share copywrited material.
That's illegal, and is not allowed to be discussed at Bleeping Computer.
The other thing you mentioned, "bugs", are a very real security risk, since you don't know who you're downloading from.
If you aren't very careful, it wouldn't take much to download a virus/trojan, and totally hose your system, not to mention the other problems associated with file sharing.
Here's an interesting article that will explain the other dangers associated with file sharing:
Risks of File-Sharing Technology
If you have anymore questions, don't hesitate to ask.