Again, I don't know much experience with WMA files, but must assume you have reason for wanting to convert them to mp3 - the main reason that I could imagine is that WMA files wouldn't playback on a particular device and you wish to have files with a less restrictive format. I have no advice for working with files that have 'protection'.
As regards potential quality loss, it would seem that you don't have much choice. You are converting an already compressed file format to another (lossy to lossy.)
The best bet, while impractical on a grand scale and not what you are asking about!, would be if you had the original 'lossless' files - then convert them to mp3 to begin with.
Anyhow, your inquiry had me do some research on things I didn't know, so thanks for that. Best of luck!