I could assume that you have already done this, but your message doesn't say if you have played the wave files themselves to make sure that they don't display the problem. If the "thump" first occurs after the conversion from mp3 to wave, then what is the guilty program??
If the thump only appears after the cdg file is made, then it's maybe a hardware accelaration problem. (I blame HA whenever I do everything right there are still noises and other imperfections!!
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Good Luck!