Well .mod, .s3m, .it, .xm, etc, are module music files, which are basically like MIDI except you supply your own instrument sounds, instead of having standard GM ones. This means that you can't directly convert regular sound files to modules.

However, newer trackers (mod programs, like modplug) have direct conversion from MIDI to a module format, as long as your MIDI file falls within the limits of the various mod formats (like number of tracks, instruments, etc.).

So to answer your question, it really depends. If you have a MIDI you want to convert, just do it in modplug or another such program. If you have a wav file, it is still possible, but the new file will be just as big. And if you want to compose your own, you'll have to learn how to do it.