I’m not the advocate of any editings of copiryghted materials (which SSiW lessons surely are) so @aran, @iestyn and the crew might not be very pleased with any editings at all.
However if you do this simply for your own purpose to learn easier (although the lessons are well designed to be suitable exactly for what SSiW wants to acheave) then I’ll say no more and let the others tell their share if needed.
But regarding Audacity - it can save MP3 files but you need plugin for that. You can get all plugins on Audacity site and if you associate them with Audacity properly you can save files not only in .mp3 but also in .ogg and many more formats. To save files in mp3 format you’d be prompted when trying to save in this format to get LAME third party encoder - lame_enc.dll - and in the dialogue window which appears you also have the button to click to get it.
How to do this I’m describing in these PDF instructions: https://www.dropbox.com/s/ogy5oxrdykmb15z/How%20to%20install%20Lame%20Encoder.pdf?dl=0
So, you see, you don’t need 2 or even more programs only to be able to save files in another format. Audacity offers you all. You can get other plugins for Audacity aswell which enables you to use many effects and edit tools.
Happy Audacitying. 