Some burning-programs can handle this internal.
You can drag and drop mp3s into the CD-Layout and the program converts it on-the-fly to .wav

The usual burning programs do so, imho

So you needn't think about it.

Other possibility: WinAmp should have a "disk-writer-plugin" which "plays" an mp3. You don't hear anything, but it writes the music as ".wav" to a special destination on your harddisk.
XMMS has this plugin. (I don't know, if something like this is available for WinAmp. Just check the Homepage)