Apple - Where can I find free WMA Conversion Software?

If these are unprotected files (non-DRM), you should be able to drop them directly into iTunes on a Mac and convert them to MP3 or AAC. I've never owned or used a Windows PC so I don't know if the same thing will work on Windows iTunes, but you could give it a try.

On a Mac, you can also install Flip4Mac, which enables you to load WMA files in QuickTime and convert them to MP3 or AAC. If you have a bunch of files, you could set up an Autmomator action to automatically do this on a folder full of files.

If you are running Windows the free version of Media Monkey will do this:

Record CDs and convert MP3s, M4A, OGG, FLAC and WMA files etc. into other formats.

It comes with a time limited mp3 encoder, but you can replace that yourself. However, this probably isn't an issue if you're converting for the iPhone.

ffmpeg can do all that. As far as I can tell, it's a commandline-only program, but that has the plus side that you can run it in batch mode easily.