Open iTunes, go to the 'Preferences' dialog box, click on 'Advanced', then the 'Burning' tab. Choose WAV as the format for disc burning. Close the Preferences box.
In your music library, select any mp3 file, or multiple files, and got to the 'Advanced' menu item at the top of the screen. You will see the option to convert your selections to WAV.
The key is to first choose the format you want the files in using the 'Burning' option in advanced preferences. Then the 'convert to' option under the Advanced menu item will always be the format you've chosen.
As 4est says, though, converting to WAV isn't going to create a better sounding file, just a much bigger one.
