Wishmaster is right on target. Having the CDs is the best way, and also gives you a 'master library' as backup. But, if you are buying and downloading the mp3s, it
is pointless to convert them
up, as you cannot achieve a quality that is better than its source.
If it is not possible to obtain the CD, you could always find a source that offers its music files in a lossless format. Just make sure that whatever player you use supports the format. Here is an article that explains the theory, and it has a few links at the bottom that purportedly sells music at lossless quality (flac). I can't vouch for the links, but may be worth checking into:
Music Made Better: Why You Should Buy (and Sell) Music in FLAC
Again, I find the best way is to buy the CD (I use Amazon) and rip it either to high quality mp3 (320 bitrate) or flac.