If you decide to use ph3, I suggest .ogg because looping music is much easier with .ogg. And don't include both a .mp3 and a .wav; .wav file sizes are ridiculous.
Echoing this. Ph3 has no issues playing OGG in general. In 0.12m it might have been causing crashes but those are gone.
Just to give you an idea of file sizes, my 2nd boss has a 1m 50s bgm track. Original mp3 = 4,33mb and the OGG is 2,48mb. That's almost half the size with the same quality.
SFX can be kept .wav format as they are usually short anyway and have decent compression. Example: ZUN's se_alert.wav (Utsuho warning) is 258kb but rar'd aprox 87kb.
Music > OGG
SFX > wav is ok.