I believe that you would need to use a program such as MixPad, which will enable playback (monitoring) of one track while recording to a new track.
I don't think that this is possible in WavePad, since although you can have many files open in the window at once, you can only have one active at a time.
I have just started using MixPad myself to do pretty much what you are attempting, and have noticed, as has been posted about in the MIxPad forum,
that during playback each newly recorded track starts a bit later than the previous (latency). I think you might be able to do some manual fine tuning to move the
new track so it lines up with the first, but I am just beginning to explore this myself.
Good luck - WavePad is a great program with many capabilities I have yet to discover!
Vapors