You do have to goto Options|Settings, then setup the Encoder tab & the Filenames tab.
Another EASY EASY way is to just

get the <a href="http://mukoli.free.fr/out_lame/#dl">out_lame for WinAmp.</a>
It's just like using the DiskWriter plugin 'cept it converts to MP3 instead of to WAV. Very simple to use if you've used DiskWriter before. Just drag all the files you want to convert into the play list and hit play.
You'll want to turn off the spectrum analyzer when doing this, it seems to slow down encoding quite a bit.
~klinky