Using 'Generate -> Tone' tool in Audacity

For example, let's generate sine wave tone with 33 Hz frequency, about 200 ms long.

Click to enlarge

Preview button is very handy if you'd like to play around with attributes.

I'm trying to house an integer number of sine cycles in the file to avoid harmonics

To save it as .WAV file use File - Export Audio option

Please pay attention to Project Rate 48 kHz, and 32-bit float format.
You can also save your wave as an Audacity Project (.AUP) for further use.