Hello samcoffeeman,
I can only speak from personal experience.
Yes you have to use wav. files for KHPro.
I have downloaded MP3's for songs not available on CDG
Have had no problems in converting them successfully to wav. files and adding lyrics in KHPro.
Have also used converted MP3 files as wav. files in Vogone, as others have said not as successful, but occassionally they do pretty well, but don't hold your breath.
Try
www.audiotoolsdirect.com they list a stack of tools you can use for converting files in all directions, together with a whole host of useful karaoke and audio information
A lot are either free or shareware
Regards from across the pond
Garry