Unless they're protected (ones you bought off iTMS) just find the source file and drop it onto whatever player you desire.
If it's protected, burn it to a CD (CDR or CDRW) and rip the CD to MP3. Trash the protected files and replace them with the MP3s that aren't restricted.
You can do some fancy stuff with disk images and virtual drives if you know what you're doing and not have to bother with disks, but a CDRW is a pretty simple way of getting teh job done.