After a failed attempt at finding out how to use a custom file name separator using google I located the registry value where Windows Media Player stores the separator using RegMon. So simple I really should’ve tried that first 🙂

HKEY_CURRENT_USER\Software\Microsoft\MediaPlayer\
Preferences\CDRecordFileSeparator

I’ve only tried setting the value to ‘ – ‘ which works just fine, but any other string probably works too.