Export audio file with chapters?

What exactly do you want to do with it? If you want to use it as something like a talking book, then it won't work; they use specific software and hardware to do that. But it's not too difficult to turn the files into tracks on a CD that will work more or less as chapters, although actually they'd be tracks.

The basic process is to turn the track markers into track ranges, by adding a marker at the start and end of the file, selecting all the markers in the cue list, and converting them to ranges using the 'merge' icon next to the dustbin. It's then relatively easy to use these to create a CD, either with gaps between the tracks, or to run continuously. As far as your appended file is concerned, you only need to save it to a new file; it will remain in its concatenated form, and as long as you elect to save the non-audio data, you will retain the markers too.