Replying to myself in case anyone has the same question in the future and is searching for an answer.
I couldn't find any direct support for embedding WAV files in a Flex Builder 3 / ActionScript 3 application. What I did try and was delighted to see it works is to create a Flash Movie in Flash CS 3 (you will need to own that or get an evaluation) and import your sounds to the library and link them to be exported by ActionScript. Export the Flash CS3 project to a SWF movie and save it in your project (I added it to a "lib folder").
Your ActionScript code to create and play the sound should be:
private static var BigShipSound: Class;
var : bigShipSound : Sound = BigShipSound as Sound;