I've been searching for a way to convert a .wma file to either a .xm file or .s3m, but I'm having a bit of trouble. Any suggestions?

As it has been repeated 1000000000x infinity, wma,mp3,wav,ogg,flac,anything else you'd want to convert is a streamable format and it's not possible. Well, it is, but it wouldn't work on JJ2

Please read the frequently asked questions in General Jazz 2 Talk or use the search before posting help threads. As has been stated, this question has been posted a large number of times already. The FAQ and search should help you out.