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Import into iTunes.
Set iTunes's Encoder in the Prefrences
Select the song in iTunes
Choose Advanced->Convert Selection to <whatever you want>
Click on the converted file (when it is done)
Press Command+R
Drag the file to wherever you want

This will not work with songs downloaded from iTMS. Burn those to an Audio CD (a re-writeable one, preferably) and then reimport them to allow yourself the ability to import them.
 
I already tried that. The iTunes encoder only allows conversion to AAC, AIFF, Lossless, MP3, and WAV.
 
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