Music purchased from iTunes has Digital Rights Management (DRM) built in, to convert it to another format you need to burn it as a music CD and then rip that. If you can (some CD burners won't) use a CD-RW disc and then you won't be wasting blanks.
I rarely buy from iTunes now but when I loaded the iPod I used it for tracks I couldn't find elsewhere, also a few from American version.
Prefer gomusic.ru for complete albums.