Yeah, I made an equivalent bash script which did the appending, but I'm not sure it's working right.
However, I found a .adx file in the DiGi Charat archive which vgmstream converted cleanly to a .wav file, so it looks good.
Incidentally, while looking for streaming music to test, I found another music player called XBMC which works in Linux, Windows, OS X and XBox, and includes vgmstream among a horde of other vgm plugins (but not AO SDK it seems). Looks nice.