I am pretty sure iTunes (and the iPod) natively support playing wav files. They support playing aiff files. So you should be able to just drag the wav file from it location on your computer onto the music tab in Itunes and it will add it to the library. If not...just select file...add to library.
Import settings really deal with taking music from a CD and "converting" it into MP3 or AAC files for the iPod. But again...iTunes works just fine with uncompressed files too. At least on a MAC it will do AIFF...so I assume it will do wav on a PC.
Once the file is in iTunes...within iTunes, you drag the file onto your iPod's music folder. All syncing has to be done within iTunes.