I don't think you even need to close the Wizard to burn multisession discs (if you prefer to use the Wizard). I know it offers the option to continue a multi-session disc, and I believe it defaults to burning the data discs as multi-session discs.
In any event, you can do it in regular Nero, as Han suggests, by selecting the appropriate choice on the "Multisesssion" tab of the compilation dialog. And if you prefer a simplified interface, Nero Express is nicer than the Wizard, and it definitely allows you to create and continue multisession discs. Just check the "Allow files to badded later (multisession disc)" box on the "Final Burn Settings" page when starting a new disc, and when continuing a disc, just make sure the disc is in the burner before you start your Nero Express session, and it will automatically import your previous session and allow you to add to it or delete it.