What you're proposing is a pretty bad idea. If you convert from MP3 to WMA, regardless of whether any actual WAV files are generated, you're going to lose quality in such a conversion, and it's going to be a lot more quality than you would lose if you started with the original CD's or WAV files and went to straight to WMA. Any MP3->WMA conversion process *has* to have an intermediate step where the MP3 file is decoded and then encoded into WMA format, even if it's done in memory, without WAV files. So the WAV file produced by decoding the MP3 will have MP3 quality loss, and re-encoding that file in WMA will lose further quality.

Ripping the original CD's and encoding them in WMA from the beginning is a much better idea. This obviously isn't possible if you don't have the original CD's. Having said that, I would strongly recommend against "converting" from MP3 to WMA because you have 2 lossy compression steps instead of just one.