Wavelet set wavelets were the first examples of wavelets that may not have associated multiresolution analyses. Furthermore, they provided examples of complete orthonormal wavelet systems in $L^2(mathbb{R}^d)$ which only require a single generating wavelet. Although work had been done to smooth these wavelets, which are by definition discontinuous on the frequency domain, nothing had been explicitly done over $mathbb{R}^d$, $d >1$. This paper, along with another one cowritten by the author, finally addresses this issue. Smoothing does not work as expected in higher dimensions. For example, Bin Hans proof of existence of Schwartz class functions which are Parseval frame wavelets and approximate Parseval frame wavelet set wavelets does not easily generalize to higher dimensions. However, a construction of wavelet sets in $hat{mathbb{R}}^d$ which may be smoothed is presented. Finally, it is shown that a commonly used class of functions cannot be the result of convolutional smoothing of a wavelet set wavelet.
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