At least Sidplay2/W can save as WAV. From there on, you'd use your favorite MP3 converter. You could also capture audio with Audacity or some other sound recorder. If you own a HardSID or any other expansion card that has a real SID chip fitted, I suppose it would be the way to do it.
Check Settings -> Wav. Since a SID file doesn't have an obvious ending (although many play to the end and stop), in theory you could fill your hard disk with one giant WAV file if there was no restriction.