Download an audio editing program such as Sonic Foundary Vegas, Cubase, Cool Edit Pro, or ANYTHING, and record the wav file directly to the audio program. You have to sit and listen to it as it records, but at least then you know when to cut it off, and you can add a fade to it right away.
Another option is to edit your own NSFe files so that they all end at the proper time, and have proper fade outs. Then select the option where each song is listed individualy in winamp, then select the disk write option. It should save them all to perfectly timed wavs.
Both of these optons take a little time to do however
, But it's worth it to listen to NES music in your car.