Do I need another format of music other than MP3?

I’m trying to use Audacity with my iTunes and my music are all in MP3 format, do I need to convert my music?

No, you don’t need to convert it. iTunes supports MP3 format.
Converting the format of music will usually reduce the sound quality to some extent (like making a photocopy of a photocopy), so generally best not to convert the format unless you really have to.