In theory, there should be no problem with iTunes converting from one Lossless format to another - it'll simply 'unpack' the information and re-encode it in Apple Lossless. However, all codecs vary, and you may end up with files that are slightly different just because of the method used.
Or of course you could just buy a player that supports WMA Lossless. Creative's Zen Vision:M is now available in a 60GB version, for example.
However, the iPod sounds better, and is far more flexible. Add the fact that Apple Lossless, in our tests, sounds the best of all the file formats, and I think you've nothing to worry about!