Why not get iTunes to do it for you?
Open iTunes and go to Preferences.
On the General Tab, click on Import Settings.
From the dropdown menu, choose Import Using MP3 Encoder
Click OK & OK
Still in iTunes, select the track(s) that you want to convert to MP3
Now right click the selected tracks and choose "Create MP3 Version"
On completion of the conversion you will have the originals, still intact, and an MP3 copy. Drag the MP3 copies onto the desktop and put them on your MP3 player as normal.