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for %f in (*.wav) do lame --preset standard %f & del %f
That is wrong. What this will do is that it will first encode all files matching *.wav, and then it will try to delete the file named %f. What you want to do is this:
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for %f in (*.wav) do lame --preset standard "%f" "&" del "%f"
The "'s around %f are important if you have any files with for example spaces or ampersands in them.
I learned this the hard way when I had to convert a bunch of APE files to FLAC with the commandline. Since they were spread out over a huge number of directories, I wanted to use sweep.exe and not the Monkey's Audio GUI, but because mac.exe doesn't allow you to decompress to console, you can't do the really easy thing and pipe the output of mac.exe to flac.exe, so I had to decompress to temporary .wav files, encode that and delete the .wav and the .ape.