I don't think that you can. But you can turn off Peak File saving in Preferences/Media & Disk Cache. You could also delete them since Audition doesn't actually need them to work. It just saves time when opening larger audio files but shouldn't be a problem with short loops.
Alternatively cannot you sort them by file type in the file finder which would put all the .wavs together with the .pkfs separately. That's what I do in Windows if I have a large number of audio files in a folder.