It’s File → Export to create a WAV or other regular audio file.
File-Save is for creating Audacity projects (optional).
Hang-on because this gets a little tricky…
Usually the best solution is ReplayGain and a player application that supports ReplayGain. Or Sound Check with Apple applications.
Or there are WAVEgain and MP3Gain. These make “permanent” changes to the files (like what you’re contemplating) so they don’t rely on the particular player software.
All of the popular streaming services use something similar.
There are two kinds of normalizing. Regular normalization is peak normalization. It adjusts the volume for “maximized” 0dB (or near 0dB) peaks.
BUT… The peaks don’t correlate well with perceived loudness. And many quiet-sounding songs are already peak normalized so they can’t be boosted without clipping (distortion).
That means you need to LOWER the volume of the loud tracks (in fact, most tracks) in order to match the volumes without clipping. All of these loudness matching tools use a loudness target that tends to lower most tracks.
Audacity has regular Normalization and Loudness Normalization. But unlike the above tools, Audacity’s Loudness Normalization doesn’t check for clipping so you have to choose your loudness target carefully and then “manually” check for clipping and re-adjust (regular Normalize) if necessary.
and have many thousand of files ripped to wav files
FYI - FLAC is lossless compression and tagging/metadata is better-standardized and better-supported than WAV. Plus your files will be about half the size. You might want to consider it…
Ther are converters that can convert a folder-full of files. I use Kabuu Audio Converter when I want to convert without editing.
And speaking of metadata… Unfortunately Audacity doesn’t support embedded album artwork. So if you have album art and you edit the file in Audacity, you’ll need to copy the artwork into the new -edited file. (I use MP3Tag for tagging. It’s works on all of the popular formats, not just MP3).