If you have midi keyboard or external synthesiser module, then send the midi signal out to your keyboard and then record the audio output of your keyboard either using your computer or using an external sound recorder such as an Edirol or Zoom recorder. To get a wav file, you need to set your recording device up accordingly.

I use this method. I have a usb midi interface to a Yamaha synth module and record the audio output using an Edirol R09 sound recorder set to record in 16 bit wav. I find the results entirely satisfactory.

I haven't tried recording via the computer this way because I find recording via the audio input of my computer results in somewhat noisy recordings, but it should work providing you do not overload the computer and midi isn't particularly heavy on resources unless you are using a software synth to create the sounds - which you would not be in this case.