A lossless format is one that allows the original (source) data to be reconstructed exactly from the compressed data. FLAC is an example of lossless compression -- MP3 is not and is considered lossy data compression.
MP3 data is compressed approximately 10-11x (depending on the bitrate) vs. the original source CD audio (WAV). Since it's a lossy format, you can't take an MP3 converted back to a WAV file and expect the the original source and converted file to be EXACTLY the same. It's because data is lost in the conversion from source to MP3 that can never be recovered. You don't notice the difference in sound, though, because the lost data doesn't drastically affect the MP3 and the MP3 is "close enough" for your ears.
Lossless explained
Because you're converting from one lossy format to another, you're always going to lose some data. Only you can decide if it sounds OK to you. Granted, without top-notch sound equipment, you probably won't be able to tell a difference.
FYI, I do the exact same thing to MP3s for use on my flash player. Since the player is only 128mb, I'll convert MP3 to WMA to lower the filesizes so I can fit more songs on the player. I know the problem with the conversion -- but they sound good enough to me since I'm only using my player in the gym.