Audio conversion, WAV 1st?

Hi all. My question is about audio conversion. If you have a preferred file format and you dl or rip a file in a different format, is it better to convert it to a wav first, or just go straight from one compression to another? In other words, you might dl an mp3 but prefer wma, or ogg but prefer mp3. Is it better to go to wav in between, or is compressed to compressed ok? Facts and opinions both welcome. Thanks.