Use a good desktop search engine for this purpose and then just drag and drop the files you audition from explorer into Renoise.
Check out for example Everything at https://www.voidtools.com/
For auditioningthe .wav files, check for example https://resonic.at
Quote: “The Pro version allows you to drag and drop selections of any audio file into new files and thus extract portions of audio.”
Well, this is my setup, anyway. 
Also see this post for some tips about rendering from Renoise: https://forum.renoise.com/t/track-groups-save-each-track-to-separate-file-lots-of-cool-samples/47014