Not all WADs can be converted automatically. It varies, depending on the kind of WAD you want to convert.
Plain old levels are the easiest to convert...just use lvlconv.exe like LightspeedX said. I think that you could convert Die.wad that way, but I'd have to look at its lumps to make sure. However, if it's a set of levels rather than a single one, the process will have more steps, as you'll have to factor in all of the levels in your conversion process. In your case, you're better off simply downloading an already converted version
here.
Character WADs are harder. You've got to convert them to SRB2 2.0's palette, and there's no automatic way of doing so. You can, however, set XWE's IWAD to the 1.09.4 version of srb2.srb (or, if your WAD is really, REALLY old, the 1.08 version), export all of the graphics lumps to bitmap, change the IWAD to the 2.0 version, and load the graphics back in. It's time-consuming, but it will work. There are also parts of the WAD (usually SOCs in the MAINCFG or OBJCTCFG lumps) which cannot be converted because the newest version has a different SOC library. You may have no choice but to scrap those parts, which might mean your character will no longer have the unique special ability it once had.
Large scale mods are even more of a pain. Certain portions can usually be converted easily, but others can't. And since many mods are heavily socced, you may have to do away with some code, which will mean a substantially different gaming experience if you DO manage to get it all converted.
Hardest of all to convert are hard-coded EXE mods. There is simply no way to convert these, so you'll have to completely rewrite and recompile the source code. Fortunately, I don't think you're yet at the level where you'll need to do anything like this.
Anyway...I hope that explanation was helpful to you.