I went to Insert/ media file (reaper) and browsed to my cakewalk audio folder.
From there, I held down the control key and selected each individual track (wav) for that particular song and then hit open, Reaper opened all the wav files (tracks) as individual tracks.
This was just a couple days ago and unfortunately, it's been the only thing I've done with Reaper (just downloaded it).
Not a super easy way of doing it but not a difficult one either.
Edit: Just realized this is an older thread, oh well, maybe it'll help anyway.