To make sure Wave works with Reaper, navigate to Reaper→ Preferences → Audio → MIDI Devices. Under MIDI Inputs, right-click on Wave and make sure both "Enable input" and "Enable input for control messages" are checked.
In Softwave solo the function you want to map. Make sure your function has a dedicated CC number or Note (→ see Functions).
To map the function to native transport controls within Reaper, hover over the parameter and notice it's name. Then head to "Actions → Show action list..." and search for the parameter in the list. Select the parameter and click "Add..." under "Shortcuts for selected action".
To map the function to a 3rd party plugin, first move the parameter you want to map. Then click "Param" and verify that "Last touched" matches the parameter you want to map. Then select "Learn".
Depending on which of Wave's functions you are mapping, move, tap or click on Wave to make the link.
Now De-Solo the function in Softwave. The function should be mapped to Reaper.