Good afternoon, I need to write a script to create Wave and link SO to the wave. I'm looking all over, I don't see much example. Any idea how it's working, especially the SO part ?

If you check the Wave record in the record browser: https://system.netsuite.com/help/helpcenter/en_US/srbrowser/Browser2023_2/script/record/wave.html You will notice that the only field link to the Wave to the Order is the line field

order

. So you should be able to create your Wave record, add the lines, and link the SO to those lines. After saving the Wave record you can go back and write the Wave record ID to the lines of the Sales Order. I'm not familiar enough with this record type to know if there is a body level field but I guess there is not if a Wave record can be created for multiple SOs. It looks like that way, meaning Wave to SO is a one to many relationship and you may need to go by the lines.