how to make led fade on and blink while wav file plays
As this can not be your entire sketch we can only guess that you are using some sort of SDCard music playing Arduino shield and library.

An application can not call the delay() function if the application is trying to accomplish more than one task.  Calls to delay() block the processor from doing anything other than waiting for the delay to time out.

In order to (appear to) do multiple tasks, run a loop with no calls to the delay() function.  Instead call the millis() function checking if enough time has elapsed to call the LED function or the sound function.  In neither function should you call the delay() function!  If you did not write the function (for example you are using a library) you may need to edit the code in the library to ensure it is following the no-calls-to-delay()-function rule!

In general terms, this is referred to as a state machine.  In this case, the state machine is driven by the amount of elapsed time as reported by the call to the millis() function.