When sampling the signal like this, you are doing a PCM conversion. If I remember correctly, Windows WAV format is indeed PCM, with some additional preamble.
So, if you are able to pack these data into a file with the correct additional information, you should be able to play them on a Windows OS (I reckon on other OSes as well).
PCM is quite inefficient. If you have a huge amount of data, and your MPU has enough power, you could try some software vocoder, like SPEEX. With Speex, you have the double advantage of a more compact format AND you can immediately play the sample on a PC - because one of the Speex porting is for PC.
Giuseppe