The advantage of ripping to a lossless format, when your source is a CD, is that no information stored on the CD is lost in the ripping process. The files on CD contain 1,411,200 "bits" for each second of audio, and this information is unaltered in the ripping process when using a lossless format.
Files on the iTunes store, on the other hand, have had some of this information removed, in order to reduce the file size down to 128,000 "bits" for each second of audio, or in the case of "iTunes Plus", 256,000 bits per second.
Once the information has gone, there is no way to restore it. Converting it to lossless does not magically recreate the missing information.
For the most part, there would be no point in doing what you are trying to do, and you can't get the iTunes store to send you lossless files; your choice is 128 kbps files or 256 kbps (only iTunes Plus songs are available at 256).
Except... if you are trying to get them into a format that will work on something other than an iPod and want to preserve the quality of the iTunes Store file, rather than converting from one lossy codec into another (which would loose you even more information from the music file beyond that already lost when the iTunes store file was created by Apple). In order to do this, burn the tracks to Audio CD (make sure iTunes is set to burn Audio CDs in the "burning" tab of the "Advanced" pane in iTunes preferences).
You can then rip that CD back with whichever software you need to use to work with your other mp3 player.