Personally, I love to use free shareware program SCMPX, as it's fast & simple (like me

). I've heard that MusicMatch may also be fairly easy for converting. All the best.
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Cool Edit Pro's Help screen reads:
To convert between file formats.
To convert a single file from one format to another, use /File/Open to load the file, then select /File/Save As to save the file and specify your new target format in the Save as Type field.
If you need to convert multiple files from one format (like .WAV) to another (like .AU), you can use CoolEditPro’s Scripting feature to accomplish this. Here's how to do it:
1. Open a single wave file and be sure that there is no highlighted selection.*
2. Choose /Options/Scripts & Batch Processing...
3. Click on the Open/New button, and choose BATCONV.SCP from your \Scripts directory (located in your CoolEditPro directory).
4. Choose Batch Conversion from the Collection list and click on the Batch Run button.
5. Select the files you wish to convert in the Source Files using the Add Files button.
6. Select the destination directory, output format and any options, and the output filename template.
7. Click on Begin Processing to start the conversion.
* This step is required in order to tell CoolEditPro that this is the type of script you wish to run (one that operates on an entire waveform). Without this step, the Batch Run option will not be available. The opened waveform need not be part of the intended Batch of files.