You need to stop threads "cleanly"
In general, you need to stop threads "cleanly" not by actually stopping the thread, but by signalling to it that it needs to stop what it's doing. For an overview, you may like to look at my own article on stopping a thread in Java-- however, the bottom line is that you need to arrange for the thread's run() method to exit.
Now, in your case, you're presumably using some kind of library to play the WAV file. So you need to look at what facilities that library has. If you're able to give more information about what code/library you're using to play the WAV file, then we may be able to be of more specific help.