Use the Import Dialog Lump dialog to make a PWAD out of any file. Press F7 and the select the Import Lump Files Into a PWAD.
This takes an existing file (not a PWAD) and places the required control information around it to be recognized as a PWAD. You can add multiple entries at the same time.
The content of the input file(s), must of course be legitimate data for the game to recognize.
The HEXEN MAPINFO and SNDINFO lumps, for example, can be created by taking a text file and naming the
lump one of those names. The prior was just for illustration. Itís easier to use the F6 HEXEN menu which has built-in support for easily saving this kind of lump with your level.