Yes, there is a big loss of quality from CD to WMA even at "best" quality, which I think is only about 160 - 192kbps.
The thing is that you may not actually be able to notice the difference in quality depending on;
1) how good your playback equipment is (if you listen to CDs and WMA through something low quality like a PC and its speakers, then you probably won't notice much difference, but if you play them back through a decent hifi or with decent headphones, you will be more likely to notice the reduced quality)
2)How good the original recording is
3) How good your ears are ( Don't feel bad if your ears are not sensitive enough to tell the difference, its a good thing because it means that you can be very happy with lower quality encoded files! sensitive ears will need high quality encodings in a lossless format like FLAC to be just as happy)
Take some time to experiment with different formats (MP3, WMA, OGG, AAC, FLAC etc) at different quality settings and then compare the same tracks in the different formats to each other and to the CD original using the system you would normally listen to music on, and in your normal listening conditions.
When you can no longer tell the difference, this is the point at which you are said to have achieved "transparency". Choose the most convenient format for you at the lowest quality setting required to achieve transparency.
The higher quality your play back equipment and the original recording are, and the more sensitive your ears are, the higher the transparency point will be, and the larger the encoded files will be. Diffenet formats will achieve transparency for you at different quality levels.