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Chapters, indexes, bookmarks are not supported by the MP3 / WAV file formats. You need to find a player with the ability to bookmark WAV or MP3 files for you. The files themselves are not altered to contain the bookmarks, instead the player creates a file to keep track of the bookmarks.

I don't know of any current players with that ability. The only ones that i know of are Rio Carbon and Creative Zen Micro back in 2004.

If you are using your smartphone to listen to those files, then you may need to search for apps with that ability.