I have had some success with these type of files with yxplayer2 or OPlayerHD Lite (still thinking of getting the paid one as the Lite does work...).
I usually get .wmv files in e-mail, which both these apps open fine. I've not gotten a .wma file that I remember. Oh, and OPlayerHD Lite says (on the app store) that it'll play .wma files...
I don't believe you'll be able to put the songs into your iTunes/iPod apps on the iPad unless you convert them. But, I believe you can leave them in either of these two apps for later playback.
Hope this helps.
Marilyn