RM is definetly smaller in size but then, as Alvin.C said, mp3 are more common and can be played on a wider range of players
However, if you are downloading the media, I would advise you to download them in .rm format. It has great quality (similiar and even better than some mp3) most of the time.
Then, to burn them to a CD or DVD, convert them back to mp3 of wav.
As for the converter, I have searched a lot for one and finally got hold of a simple one that converts them to wav. (You can then delete the wav ones after you burn your cd if you dont have much disk space since the wav are very big sizes.)
If you are interested in it, let me know.
Il send it to you by email or send you the link