Switching from a Windows PC to a Mac or an iPhone is the single most common reason people finally deal with a WMA library. If Apple devices are the destination, M4A is the natural target: it's AAC audio in Apple's own container, it imports into Music without a murmur, and it sounds slightly better than MP3 at the same bitrate.
If the library also needs to play in an older car or on a cheap MP3 player, choose MP3 instead — universal compatibility is worth more than a small quality edge.
Getting a Windows library onto Apple gear
Convert to M4A, then drag the files into the Music app (or into iTunes on Windows) and let it import them. Because AAC is Apple's own format, nothing is re-encoded on the way in — an MP3 library imports fine too, but a mixed one can end up inconsistently handled by sync settings.
Expect to fix up metadata afterwards either way. Tags rarely survive a WMA conversion perfectly, so a pass through a tagging tool before importing saves you sorting out 'Unknown Artist' entries later.