The WaveHC wave playback is 'interrupt driven'. What that means is that a timer generates an interrupt at regular intervals to play the sound through the Wave shield. This is all transparent to your program. You only need to start the playback by calling "playfile", then your program can go on to do other things such as controlling your LEDs.
There are many example sketches in the tutorial: http://www.ladyada.net/make/waveshield/examples.html
Under "6 buttons, 6 sounds, multiple possibilities!", the link named "Play the wave file all the way through once, but allow other buttons to interrupt" shows that the sketch is free to scan the pushbuttons while the wave file is playing.