Halcyon or HALion? I’m not familiar with Halcyon, but it would completely depend on how it is set up.
I’m not entirely sure what you are trying to do with converting .wav files. Do you want to transcribe a line or arrangement into Dorico? If so, you just have to do that the old-fashioned way with your ears. If you want to import a .wav to have Dorico play along, you can’t currently import a track, but you can import a video. Just convert the .wav to a video format. If you are trying to convert a .wav of a single Bongo hit or something so Dorico can access it, any sampler should be able to do that. I’m not sure if HALion Sonic (which is included with Dorico) can do that or not, but the full version of HALion, Kontakt, etc. certainly can. I’ve loaded .wav files into Kontakt before and had Dorico trigger them too, you just have to trigger them at the start of the .wav, you can’t trigger somewhere in the middle.