I'm really only just getting started, but so far I'm thinking along these lines:
Wings 3D -> Blender 2.5 -> FBX ASCII -> ad-hoc tool -> ad-hoc binary file -> ad-hoc loader.
For what it's worth, right now Blender 2.5 doesn't support FBX export, so I have to do Collada -> FBX Converter -> FBX. But Blender 2.5 support should be ready fairly soon.
You may wonder why I'm considering using the proprietary and undocumented FBX standard rather than the open source Collada standard. I'm doing it for the same reason so many other tool chains (e.g. Unity, XNA) do, namely that FBX is a simpler format that just seems to work more reliably when exchanging data between DCC applications.