How do I connect these modules to an arduino?
A brief pin consumption summary:


The Wave Shield consumes eight pins (D2, D3, D4, D5, D10, D11, D12,
and D13) 
You need eight pins to scan a 4x4 keypad. 
You need six pins
to talk to an LCD like the one you've linked to.


That's a total of 8 + 8 + 6 = 22 pins. The Arduino has 21 GPIO pins. So I think you simply do not fit on the device. If you can compromise on hardware, one solution for you would be to use a Serial LCD module like this one at SparkFun, which minimally consumes only one pin (D1).