And for the most flexible conversion process, you could try the foobar2000 version of the component along with the converter component. At least I find that opening a bunch of tracks, selecting them in the playlist, right clicking, then selecting the converter is a lot more convenient than the Winamp process for legacy plug-ins, which requires you to stop playback, replace your playlist with just the files you want to convert, then set the output plug-in to the disk writer, then "play" the playlist through it.
Though, my personal preference is to use the "test.exe" command line tool. With this, you double click a single BAT file, and (if it's setup right) end up with fully converted MP3s/OGGs/ADXs. No need to use any other program (well, you do need the tools used to convert WAV files to those various formats... but they're part of the BAT file commands...). Just put "test.exe", all the external DLL files, and oggenc/lame/adxencd (or whatever they're called), and the files to be converted into the same directory, and GO!
:P Well, at least, I think it's simple. However, I'm significantly more familiar with the command prompt than most people these days.... Anyway, yes, as this discussion is saying, use VGMstream in whatever method it's available to you. That's the best tool for the job. Mouser X over and out.