Just so I understand the problem.
I first go Window -> customize commands -> searched for “marker”
I selected “create marker at current frame” and set the shortcut to * (just like in AE)
I then opened the timeline and hit play.
With my mouse over the timeline I hit * to add a marker while the audio is playing.
There is a small hiccup in playback.
This is what you are experiencing?
AFAIK there is no way to get around this hiccup.
The AE -> C4D exchange does not support markers (Request the feature through http://www.maxon.net)
.wav files are supposed to be able to support markers upon import, although this does not seem to be working in my test.
Pretty much that leaves the safest method as laying the markers on top of the waveform in the timeline.
Are you trying to lay out a pattern or beats, or just trying to hit key points in time?