It was a while ago and I converted only for my favourite games. For Snes I followed this tutorial.
Here is one for Sega Megadrive I havent tested yet but seems to work.
Just came across this for Mame I might use later. http://rbelmont.mameworld.info/?page_id=223 I also think there is software available so you can capture anything going through your soundcard and convert to wav/mp3 on window as an alternative method.