My experience is that most, if not all, audio podcasts are already mp3s, so you can just download them. If you get one that's aac, it can be transcoded to mp3 at the cost of some loss in quality, possibly unnoticeable to most people.
Oh, thanks! I've never downloaded any podcast before and found some DJ that played some incredible music. After downloading it...I found out that it is a .m4a file but I just dragged & dropped in Toast and burned it to a disc. I thought the podcasts would be protected format some how.