Give the playlist a file name, choose M3U as the file type, and select Save. Start the playlist, then go to File > Save Now Playing list as. Once you have them together, free file converter software can be used on the files to convert them to the format you want them to be in, like MP3 to WAV, MP4 to AVI, etc.
This technically isn't an M3U file conversion, but if you want to gather all the audio files that an M3U file is referencing, and copy them to a single folder, download and use the M3UExportTool.
