decklin

If you open an MP3, speed it up in Audacity, and save it as an MP3, you are still re-encoding it and decreasing quality, which is what I assume you mean by "conversion".

After any processing step, you should save to a lossless format to avoid this. You can start with whatever format you want (AAC from iTunes and MP3 from Amazon are pretty indistinguishable in subjective quality.)

Better yet, use a portable player that can change playback speed on the fly while decoding. (many "DJ" apps, a hardware player than can run Rockbox, etc.)