yes, you're right
levels should be builded wmb's, however, you can make your game from the set of published exe's for each level and make special switching (mean executing different exe). but this is the hard and stupid way, I think
you must think about level (re)loading technique for game states, like:
*game start
-load 'main menu' level
*select 'new game' in main menu
-load 'first' level
*select 'back to main menu' while ingame
-load 'main menu' level
*level goal accomplished
-load 'next' level
and so on...