OK, this is what you should be doing...
First, have all the GSFs you want to convert in your Winamp playlist, then:
Go to Options, and then Preferences.
Go to where it says "plug-ins" on the side-menu, and select "Output".
Select "Nullsoft Disk Writer" (double-click it):
Select your output directory, or if you wish the files to be put in the same folder as the original GSFs, tick the "Output to directory containing source files" box.
Playlist index at the beginnning can be disabled or enabled (it just adds 01, 02 etc to the file names) -- that's up to you really.
Output Filename Format is also your choice, although I'd recommend choosing "%title%" or anything which contains "%title".
For Output File Type select "Auto (recommended)"
Personally, I keep the "Convert to format:" box UNticked so that the sample rate is the same as the source.
Now, after all that faffing around, simply click play on the first track, and it will run through all the songs and convert each one to WAV. Remember, after the conversion has finished, to go back to the Output Plug-ins in Preferences and select "Nullsoft DirectSound Output" (other wise every time you play something in Winamp, it will convert it to a WAV <_<).