I don't think it's possible to embed marker/region data into .wav files; I do know that loop data (for acidized files) can be embedded in the metadata field, but that's about it. I use Wavelab and it creates a separate .MRK file for markers; this data isn't and cannot be embedded in the wav.
If you are referring to wav clip data such as slip edits, clip position and others, I think you have to export the waves as OMF data; Sonar has that capability, Pro Tools can also export to OMF if you add their DigiTranslator software.