OK I think this should work for people who have had no luck converting their .wad files into .hlwad files under Windows.
1. Open TexMex.
2. Drop your .wad file into TexMex.
3. Click on File => Save Copy => Save to WAD3.
4. Pick your output directory and clear the name field, then type (without quotes:- yourname.hlwad and press enter.
5. Navigate to the output directory and find the output file (make sure file extensions are visible on known file types) and rename to file from yourname.hlwad.wad to yourname.hlwad (i.e. delete the .wad extension).
Seemed to work for me so anyone else care to give it a try?