For future reference, this is the place for anything related to GoldSrc and Source engine development, or just Half-Life related stuff in general. Hell, it doesn't even need to be Half-Life related, or computer related, apparently. You can't go wrong asking ANYTHING here, so long as it's in the correct section (and don't worry, this thread is.)
But as for your question, all you need to do is either add a simple parameter in Hammer, or enter the WAD name into a text field with Nem's Batch Compiler.
For Hammer, click the compile button, and highlight the compile command for CSG by clicking it. Now in the CSG parameters box, after all the other text, type in "-wadinclude egypt", without the quotes. Do NOT type "-wadinclude egypt.wad". You just need the name of the WAD, not the extension! For every WAD you include, you'll need to type another "-wadincude" followed by the name of the WAD.
For Nem's Compiler, it's a lot simpler. Under the CSG tab, there are eight different text fields that say "WAD File" and have a tickable box beside each of them. Just tick a box and browse for the desired WAD you wish to include, or type the name of it in manually. If you type the name of the WAD in, make sure you DO put the ".wad" extension on the end of the name. I don't actually know if this is necessary, but that's how it does it when you browse for the WAD, so I'd just go with that. Do this for every different WAD you wish to include.
That's basically a whole tutorial on wadincluding, although condensed. Do everything here and I guarantee it'll work fine.