You need to look more closely at the documentation. The command format is "mpg321 --wav outputfile.wav inputfile.mp3"
So if you want to convert multiple files in a single directory at once, you need to run it in a loop.
Code:
for FILE in *.mp3; do mpg321 --wav "${FILE%.mp3}.wav" "$FILE" ; done
This should take each file and convert them, keeping the same filename, but changing the ending to .wav.
On another note though, what program do you plan to use to burn the files to disk? Some of them, like k3b, can handle mp3 as an input file, and will automatically convert them for you before burning.