You could use an autoexec.cfg. It will automatically add the WAD each time you start the game. Open Notepad, write this:
addfile wadname.wad
for each WAD you want to add, just like you would add them in the console. Save it in your SRB2 folder as type "All Files", and name it autoexec.cfg.
When you don't need it anymore, just rename the autoexec, and the WADs won't be loaded.