The mp3 file is created next too the wma file. I go to iTunes ... add to library ... browse for the file > add. I download all music files into my iTunes library, If you do that double clicking it will open it in iTunes and it will be automatically placed in the right artist folder if iTunes in configured to sort files by artis etc.
BTW It would have been better if you had clicked reply to the other thread, rather than > new thread . I only happened to notice it.
I hope this helps .. You can also drag and drop but I tend to drop stuff in the wrong place LOL