Hmm nope, WinAmp takes only seconds to convert anything it can to .wav too.
However the disk writer output plugin doesn't seem to handle midi, at least with version 5.57.
You 'can' fry your soundcard this way also. The voltage from the output can ruin your card instantly. If the line-in can not or was not designed for the higher voltage level of the line-out.
A loopback cable sometimes has voltage reduction in the design to limit the voltage levels. Just becareful, and also, if the output is not clean, you will be reintroducing noise into the signal. Most soundcards are not not High-End equipment, unless you paid a few thousand for them.