We construct a Wilson action for the Wess-Zumino model by applying the exact renormalization group perturbatively. Using neither superfields nor auxiliary fields, we construct a supersymmetric action only with complex scalar and Majorana spinor fields. We adopt the BR T (antifield) formalism to show the consistency of the construction to all orders in loop expansions. The resulting action has a quadratically divergent scalar mass term which is absent in the superfield formalism.