In the iTunes preferences pane, select the advanced tab. Then, under 'import using', select MP3 (or your chosen format).

Click OK, then click the advanced menu, and click 'Consolidate Library'. Alternatively click on a song you want converted and via the advanced menu again, click 'Convert Selection to MP3'. As John points out, this will create a duplicate of your song, and you can delete the original.

The problem I run into is that I quickly lose track of which song is the duplicate, and which is the original. A quick way to tell is by ctrl+clicking (right clicking on PC's) the song and clicking Get Info. Under the summary / general tab, it'll display the encoding format, and you can use this to differentiate between the new MP3 song and the original song.

Happy Mac'ing!