As such, does anybody know of a program that will convert from MP3's to WMA files without having to convert the MP3's frist to WAV files to do so?

Remember that even if you find a program that does this in one step, it's still converting to WAV "under the hood" as part of the transcoding process.

Please make sure to read this before doing any transcoding.

And also there's a problem with the basic philosophy you're using: Which is that you're trying to save space rather than go for the highest quality. It's easy and quick to increase the storage capacity on your player, but it's a really big PITA to re-encode your whole collection once you start noticing that it sounds like crap at those low bit rates.