How do I import midis and save them as mod, mp3, or wav files?
Use File->Open, and browse to a midi file.
Do note that in order to get sound, you'll need to load a midi soundbank.
Secondly, MODPlug Tracker was not designed to do this, so expect a poor import. Its great if you want to know the notes being used, but to actually rely on a midi2mod conversation, there are better tools out there.