There are a couple of ways. If you're looking at a page with a number of playable, linked files, you can usually right-click or ctrl-click on the file and choose "Save file as...". If you have a page open with only a single WAV file playing (ie, a blank page with a timeline on it), you can use that option, or use the File - Save menu.
If you're talking about a page with embedded audio (ie, there's no obvious link for a download, it just plays when you're on the page), it's trickier - you may be able to find the file by looking at the page source (View - View Source) and try and load the file directly that way.
I was able to do this by opening the wav file and letting quick time play it then selecting the drop down on the far right (the down arrow) and saving it as source.
For whatever reason, I was not able to do this in Safari. The "Save as..." link was never offered as an option, so I couldn't click on it. I tried Firefox, and the "Save Page as..." worked, so I was able to download the wav to my desktop.