No real problems here, and it's a great way to save space.
You can't embed MP3 sound files, but all this means is that
you have to keep them in the same folder as the ppt file and then
link them. This might involve setting up a system of folders to
keep all the files straight, if you haven't already.
As for the actual conversion to MP3, it's incredibly simple on one
of my computers and impossible on the other. Both have PPT 2002
and Sound Recorder the software that does the switch. But ...
Open sound recorder, this might be from Start, programs, accessories,
entertainment. Open your WAV file from within Sound recorder.
Go to properties and if it lists MPEG layer 3 on there you can transform
into MP3 fomat in 2 shakes of a lambs tail (sorry Christmas with the kids!).
Pick the MP3 format you want - this might be the highest level mono format.
Are you really going to output stereo? Then use the highest level stereo
format.
Save the format you want with its own name I call mine "My MP3."
With the "Save as" function, change the format to "My MP3" and then save,
but add to the filename ".MP3"
That's it. 90%+ of the bulk is gone. Sound just as good (bettter?).
With this it makes sense to record
in the highest level WAV format available and then convert to MP3.