Well, they're actually NSV and NSA files (Nullsoft Streaming Video/Audio), not WMA,
and under normal circumstances, you won't be able to even save them to your hard drive.
Technically, yes, saving copyright protected streams (such as Shoutcast etc) is deemed as illegal by the provider, but is not necessarily deemed as illegal by the courts of law, or depending on which country you are in, etc.
However, taking tracks off your own CDs and burning them to compilation CDs for personal use is not illegal. The same would apply to legally purchased downloads (eg. from Napster, iTMS, etc).
However, mass producing and selling them for a profit would be an infringement of Record Company copyright laws.
If burning CDs for personal use was actually illegal, then I suppose you might as well compare it to something like buying a crack/ganja pipe being legal, as long as you never use it.