For any music you have bought to keep, I don’t see anything wrong with creating DRM-free versions of the music. In this case, it is like taping a purchased CD to play in a car stereo that only plays cassette tapes.
However, I’ve encounted mixed views of creating DRM-free versions of subscription music. For example, while it’s against the DMCA to circumvent anti-piracy measures on DRM protected songs, attempting to break DRM protection is not the same as re-recording the music. Also, if one deletes all their DRM-free versions when their subscription to the music expires, I can’t see any legal issue with this.
On the other hand, if one chooses to keep DRM-free copies of subscription music after it expires, this is like making a copies of DVD rentals to keep after the originals are returned. In this case, the user effectively has obtained music that they have not paid for. The risk of getting caught doing this is unlikely any worse than taping songs off the radio, unlike sharing songs over the Internet, but it’s not legal unless all the songs the user chose to re-record don’t have any restrictions by the artists or copyright holders on doing so.