I agree with Tony that it can be a lot of hassle, unless you can convert direct from losless compression to whatever lossy compression format. But to answer your question, is there such a beast, well yes, go to:

http://flac.sourceforge.net

Flac seems to be the flavour-of-the-month and pretty easy to use.

[edited] Oh well, so I was beaten to it by 2 min...