I just used the batch conversion in Goldwave to convert an album of WMA files over to Mp3's. Slow though. I happen to like Goldwave as it is a excellent audio editor, de-noiser, and has many other nice capabilities
I have a trial version of the latest Padus DiscJuggler installed. It seems to be able to write WMA files to a CD. Per DiscJuggler help instructions - - In the Explorer section or Windows Explorer, select any combination of WAV, MP3 and WMA audio files you want to record, and then drag-and-drop them over the "Open session" item in the in the CD Layout window. Repeat until CD Layout contains all of the songs you want to record.
Used Nero 6 to "simulate" burn the album of WMA's, and Nero 6 seem to work okay. A lot of new capability was added to the new Nero. So, maybe something was changed in Nero 6. Per Nero 6 help instructions - - - Nero does not mind what audio format the files are in because compressed files (e.g. MP3, mp3PRO, WAV, VQF, WMA or AIF) are automatically converted prior to burning so that they can be burned in CDA format. However decoding these files takes a certain amount of time and so the burning speed may have to be matched to the PC's power and computing processes.
There are also other softwares that maybe useful:
Audio Maestro - - - Consists of five independent applications. CD-DA Extractor extracts and stores music from audio CDs and supports various audio formats, CDDB, normalization, fade in and out, adjustment of silence, equalizer, and 3D effects. File Converter converts 15 kinds of audio formats, including MP3, WAV, WMA, and Real Audio. Sound Editor edits sound freely; records sound (Timer, VAS, and Auto-track Recording) from analog sources; removes noise, clicks, and pops; supports various effects and filters, including amplify, vibrato, reverse, stretch, remove vocal, and FFT; and supports frequency analysis. CD Writer burns audio CDs and data CDs; supports normalization, multisession and multirecording, burn-proof recording, image recording, and playback before recording; and saves and loads recording information. Recorder records sound as MP3,WMA,WAV including 'streaming audio'. It supports Supports Auto recording level, Audio sensor, File processor, Recording scheduler, etc.
MP3 to CD Burner Pro - - - Burn custom music CDs from MP3s, WAVs or existing play lists (M3U, PLS) (with WMA + OGG coming soon!)