Where can I find free WMA Conversion Software?

If you are running Windows the free version of Media Monkey will do this:

Record CDs and convert MP3s, M4A, OGG, FLAC and WMA files etc. into other formats.

It comes with a time limited mp3 encoder, but you can replace that yourself. However, this probably isn't an issue if you're converting for the iPhone.

If these are unprotected files (non-DRM), you should be able to drop them directly into iTunes on a Mac and convert them to MP3 or AAC. I've never owned or used a Windows PC so I don't know if the same thing will work on Windows iTunes, but you could give it a try.

On a Mac, you can also install Flip4Mac, which enables you to load WMA files in QuickTime and convert them to MP3 or AAC. If you have a bunch of files, you could set up an Autmomator action to automatically do this on a folder full of files.

ffmpeg can do all that. As far as I can tell, it's a commandline-only program, but that has the plus side that you can run it in batch mode easily.

If you are using iTunes for Windows, it is easy.

Launch iTunes, and then click File > Add File to Library to open WMA files that you want to import. Then a window will pop up as clearly shown in the picture below. Just click Convert to convert WMA to iTunes M4A format. Once the conversion is done, you can play WMA files in iTunes or import WMA to iPhone, iPad and iPod.

But if you are using iTunes for Mac, it is a little complicate. You'd better to convert WMA to iPhone supported formats. Maybe this step by step guide will help you.

If your WMA files are DRM-protected, you have to remove the DRM first.