Converting to WAV will affect the sound, because MP3s are stored using floating point values. If you are encoding to a lossy format, you also need to reduce the gain before encoding in order to avoid intersample clipping. I'm not sure of any programs/encoders that account for this.
You will also find that the better audio players such as JRiver will decode lossy formats to 64-bit internally, rather than 16-bit.
So it is possible to introduce audible artifacts that are not a result of the compression, but of the way the file was encoded.