A couple of threads you may find useful:

Converting captured .rm stream to .mp3 or .wav using free mencoder
http://stream-recorder.com/forum/showthread.php?t=101

How can I burn rm files to Audio CD
http://stream-recorder.com/forum/showthread.php?t=48

Also please read the manual of your MP3 player before converting to mp3. It may not have any support of low or high bit-rates, variable bit-rate,...