No, the ".wai" file is created only
by the AI Editor when you save your AI, it is the AI script + custom data. To have an ".ai" file you have to save first, then use the command "Export Script". (or some similar name)
Though, as I said above, both work, the ".ai" file is space saving... :)
EDIT: Found the best way to get rid of the "Hero Skills" bug, updated the main post!
FURTHER EDIT: Just found out that moyack already did a tutorial like this...