This is because Audacity is not yet able to store metadata for each track. The metadata stored will be that for the last track imported.
If you use Chains as suggested by Koz, this will avoid the metadata problem.
Chains can only operate on files that are in one folder, not look in folders inside a given folder. So if you want to process more than one album at a time, put the songs for all the albums in one folder.
I’d suggest you re-rip the CDs (to MP3 this time). Your ripping program should get the metadata from an online database (for most CDs) and that’s probably the easiest way to handle it.
Or, [u]TAudioConverter[/u] can EASILY batch-convert your WAVs to MP3. Once you get the MP3 settings configured, it’s just drag, drop, and click. But, since metadata for WAVs is not well standardized, you may not get the metadata.