Currently there's no way to create native DSD files in Foobar2000 because the converter can only output PCM. For now you'll have to use the wavpack frontend, and add tags afterward with Foobar2000 (or an other tagger).With the next wavpack release you will also be able to add an option in the frontend to have the ID3 tags in DSF files copied to the wavpack files. You can read a little about this here.
I have experimented with creating a WavPack DSD image with embedded cuesheet, and they play great (and gapless) in the latest Foobar2000, both stereo and 5.1 multichannel versions! I used the program sacd_extract (on Linux) to extract the audio from an ISO as a DFF “edit master”, which is basically a whole-album DFF file with a separate cuesheet. I also used the option to decompress DST. Then I compressed that with WavPack, embedding the cuesheet, and also some cover artwork that I downloaded separately.