How can I import these files or how can I convert them to a format compatible with Audacity?
See this page in the Manual: https://manual.audacityteam.org/man/file_export_dialog.html
and this page that it links to: https://manual.audacityteam.org/man/wma_export_options.html
Note that you have to have the optional FFmpeg library installed in order to do this - see: https://manual.audacityteam.org/man/installing_and_updating_audacity_on_windows.html#winff
For Import, once you have FFmpeg installed you can just use File > Import >Audio and select your WMA file - or just drag&drop the WMA file on an open Audacity window.