If I have files in wma format, for example, is there a way to convert them to MP3 format using Audacity?
No. Audacity will not load and play a Windows Media file properly. You should find and download a media conversion program and use that. Once the show is in Windows WAV format, then Audacity will open it, edit it, and export it.
Do you have the lame libraries downloaded, uncompressed and running? Audacity will not export an MP3 right out of the box.