After recording the file, you need to change the sampling rate to about 11khz and use an 8 bit resolution in mono. This greatly reduces the file size but compromises a bit on quality. Songs can alternatively be saved in the real audio format as a '.ra' file. These can be used like a wave file and then will not connect to the real server as mentioned above. Files in the .ra format are even smaller in size than the .wav files.
Most applets use the .au format to put sound files into the applets.
There is often a chance to customize sounds in the applet's parameter tags. It is important though in many applets to use a sampling rate of 8k when saving the .au file. Otherwise the sound will not work in the applet. I will talk focus on making MIDI for your web site next. John Rickey is an experienced MIDI arranger.