i dont know what wad files are T_T
but from what "Gotkrypto76 said i'm guessing its files extracted from the store?
okay basically what .cia are is like cracked updates for roms and also eshop titles.
you know how say for example pokemon x/y sometimes has updates to patch certain glitches/issues that weren't addressed before launch?
.cia is the filetype for these updates that are usually issued via the eshop or by QR codes.
normally you don't have to worry about .cia files for retail physical cartridge games and if you don't use gateway/flashcarts because all you need to do then is open the eshop and download the update but when you're using roms, you can't exactly do that because there's like a key that the eshop has to read to ensure that you're playing a retail cart that matches your 3ds' region.
tl;dr
say you have an american 3ds, playing a japanese title with gateway.
.CIA enables you to download the japanese game's update even though under normal circumstances you can't even play a japanese title on your american 3ds.
IF i'm not mistaken. someone correct me if i'm wrong.