1. There is currently no way to hear your XMA-encoded sounds on PC. If we all ask Microsoft really nicely, they might put xmaencode.exe (which makes that possible) into XNA Game Studio 3.0, rather than only in the XDK - but maybe there are legal reasons why they can't. So you'll have to audition on 360, I'm afraid.
2. You can (and probably should) happily put all your wavs into one, or just a few, wavebanks. Remember - each cue references sounds, each sound references tracks, and each track references waves. Those waves can come from any wavebank.
Pandemonium, an occasionally updated blog about my game, XNA, games development, and the games industry;
XapParse, a parser for XAP (XACT) files