I've figured out a way to change the tempo throughout a song... the trick is to select the measure(s) you wish to put the different tempo on, right click for the drop down menu and choose Tempo Mark, and set the new tempo at that given point for the measure. If you want to show the change explicitly then click the Show Tempo Mark checkbox.
Seems like the trick all along was selecting/marking the measure, as if you were going to edit it, and then chose the new tempo marking(s). Now the MIDI and/or WAV playback recognizes the changes and plays them properly.