It really depends. WMA and MP3 are different ways of compressing a file. Generally speaking, WMA is used for net streaming, and tends to use a lower bitrate (so that you can stream it over internet connections) and will give you a smaller file.
You can get the same result in an MP3 if you compressed it enough.
People will argue for both sides when it comes to using different codecs at different bitrates (eg, some might say WMA sounds better than MP3 when both are used at 32kb/s)