This works sometimes (I tried myself)

First, download MODplug (http://www.modplug.com) and MOD2J2B (http://www.jazzjackrabbit.com)

1. If you want to convert a .wav, go to step 3
2. If you want to cenvert a .mp3, first convert the MP3 to WAV. There are several programs to do this.
3. Open MODplug, then open (in modplug) the (converted) .wav file.
4. Click on the little button "Save"
5. Now save the file in your JJ2 directory. The extension (.MOD, .XM etc) is already set and mostly this one gives the best MOD quality.

Altough, mostly the quality is bad. Not always anyway, so you could give it a try.