While I could be wrong, those who have ipods can use iTunes to transcode/convert the wav file you're supplying into mp3's or smaller file formats, so there's no need to include 2 types of files, short of convenience.
If you're burning a data CD, there shouldn't be any problems burning both formats onto 1 CD. If you're expecting to burn a CD that will play in a car/stereo, then you need to do a multi-session disc (which is where you *may* be getting the error from). Something like NERO should be able to take care of that.
Best of luck!