You might have noticed, there are lots of guides in the net concerning this matter.
I propose you the one I never seen as the solution. The main advantage is it's speed - you can listen and put the tracks you want to convert from your playlist.
The way meant involves AIMP2 media player and it's built-in utilities.
Here are step by step guide how to get your mp3s from XM, MOD, IT, MID, MIDI...etc.
1) Download your copy of AIMP2, what is absolutely free.And install it.
2) Start it and put all the XM, MOD and other tracks you might not yet listened to the playlist.
3)Along with it start one of the built-in utilities called Audio Cnvertor\CD Grabber with Ctrl+K.
4)Put all the tracks you want to conver to the utility's list with drag-drop. Then set up the format you want to convert it to and press START. Don't forget to set the output folder. You may also want to cahnge the name of the tracks converting it's also available in AC/CDG utility.
5) Then edit the tags of acqired tracks with Tag Editor (Ctrl+T) and they are ready to be uploaded to your iPod.
Enjoy!

Thank you very much. It's work!!!

Signed up just to say thanks for this guide, it really helped. Other things I found only did 1 song at a time while this does a whole batch conversion. Thanks a lot.

Btw the link is broken, the new one is http://aimp.ru/files/setups/aimp_2.51.330.zip

Well, if you add playlist to xmplay or winamp it should be possible batch too