How do I use afconvert to convert all the files in a directory from wav to caf?

On Windows, use the %~ni syntax.

for %i in (*.wav) do afconvert -f caff -d LEI16@44100 -c 1 %i %~ni.caf

Similar approach for bash: for i in *.wav; do afconvert -f caff -d LEI16@44100 -c 1 $i ${i%.wav}.caf; done

for file in *.wav; do afconvert -f caff -d LEI16@44100 -c 1 "$file"; done

Hit the Return key directly after done.

Simple :)