FLAC stores audio losslessly at around half the size of WAV, and unlike WAV it handles tags and cover art properly. That combination makes it the format of choice for an archive you intend to keep.
It's the right destination if your source is WMA Lossless — Windows Media Player's lossless rip mode, which some careful libraries used — because the audio genuinely is lossless and deserves to stay that way. For ordinary lossy WMA, FLAC preserves exactly what you have without improving it, which is still useful as a master you generate MP3s from.
Is your WMA lossless or lossy?
Windows Media Player offered both. Standard WMA is lossy, usually 128 kbps. WMA Lossless is not — it's a true archival format, and files are far larger, typically 25 to 35 MB for a four-minute track rather than 4 MB. File size is the quickest way to tell which you have.
If it's lossless, converting to FLAC is a straight upgrade in portability with zero quality cost, and it escapes a format only Microsoft software fully supports. If it's lossy, FLAC preserves the current state faithfully — just don't expect it to sound better than the file you started with.