<p>File formats I would like to play include .wav, .mp3, .midi.</p>

<p>I have tried using the Wireless Toolkit classes with no success. I have also tried using the AudioClip class that is part of the Samsung SDK; again with</p>

Without source code to review, I would suggest using the wireles toolkit (from
http://java.sun.com)first
.
It contains the standard J2ME emulator for windows and example code that will allow you to play a wav file.
assuming that works OK for you, try the same code on your Samsung device (of course, the location of the wav file will probably change so you have a tiny modification to make in the example code).
Assuming that works, compare your code that doesn't with the example code.