Most of all, don't feel bad if you fall asleep. Your brain is still receiving many of the benefits of entrainment while you sleep through the audio tracks. In fact, many people report better, more restful sleep when they use brainwave entrainment to help them fall asleep. However, I recommend that you do not go to sleep with your brainwave track set to repeat, as that can be too much stimulation for the brain.
Theta brain waves occur most often in sleep but are also dominant in deep meditation. Theta is known to be a dreamlike state with vivid imagery, intuition and information beyond your normal conscious awareness. This state of mind is excellent for psychic experiences to occur, as well as astral projection and extended remote viewing. To reach this state without falling asleep while meditating takes practice.
Both brainwave entrainment and neurofeedback deal with brainwaves, but the similarity stops there. Entrainment pushes your whole brain into a pre-determined state, while neurofeedback teaches you how to move specific parts of your brain on your own. It is the differeence between forcing the brain into a given position, and skills building so you can move it there yourself.