This article is from the CD-Recordable FAQ, by Andy McFadden (firstname.lastname@example.org) with numerous contributions by others.
That depends on what you're trying to accomplish. There are two issues
that complicate matters:
(1) Most audio CD players only play tracks from the first session on
the disc. (Most CD-ROM drives will play all sessions.)
(2) Most audio CD players only play tracks from a closed session.
(In general, only a CD recorder can play from an open session.)
Suppose you record three tracks onto an audio CD, using track-at-once
recording. If you don't close the session, you can add more tracks, but
you can't play the disc. If you close the session, you can play the disc,
but you can't add more tracks.
Some people have CD players that will play songs from every session. If
you do, and compatibility with other players isn't important, you can
write each group of tracks into its own session. The down side of this
approach is that there is an appreciable amount of overhead when opening
a new session (23MB for the first and 14MB for each additional one).
If your hard drive has enough space, you can just keep the WAV files on
the drive, and burn the disc all at once. If it doesn't, you can write the
tracks to a CD-R or CD-RW disc as WAV files on CD-ROM, and record from there.
Write a new CD-R or CD-RW every time you get more tracks. (The advantage
to using CD-ROM is that additional error correction is used.)