G'day,
I also agree with Paul - there are sites (well at least one) which allow you to purchase the downloads of single songs. When I looked a few months ago payment was a bit tricky unless you lived in the U.S. but I'm sure that will change.

I think the easiest way to convert mp3 to wave is to use Winamp - easy to obtain, extremely cheap & easy to use. Plugger+ (freeware) to go the other way.

Cheers,
Alan