WMF (and MP3 and AAC) is a compressed and lossy format. You lose sound quality.
WAV is not. A WAV is the same size as the file on a regular audio CD, usually ~35-75 MB.
When you convert from a lossy format (WMF) to lossless format (WAV) the quality will be the same.
If you convert between WMF/AAC/MP3, you quality will go down each time.
When you convert between formats, you should always start off with the best possible quality (WAV or AIFF or CD).
With iTunes the default format is AAC 128 kbps.
This is a good compromise between file size and sound quality.
AAC is a higher quality sound when using the same bitrate as an MP3.
AAC and MP3 will be very close to the same file size when using the same bitrate.
However, 128 kbps AAC will sound at least as good as a 160 kbps MP3 and the AAC will be about 2/3 the size.
I use AAC 160 kbps. I can definitely hear the difference between 128 and 160 kbps AAC.
If you are importing from CDs, you should use AAC 128 kbps (but I recommend 160 kbps).
Open iTunes prefs -> Advanced -> Importing.
This is where you can change the Import settings.
(see below)
