You can create an audio recording in MainStage. To do this, you'll add a sound you'd like in the Patch List.
Then, you'll press the record button in the upper right part of the screen:
After you finish recording and de-select the record button in MainStage, MainStage will automatically create an audio file that is stored in a folder of your choice. If you go to Preferences > Audio you can see the folder where it will be stored automatically, and you can also choose the file format (AIFF, CAF, WAVE):
From there you can play this file as any other audio file.
If you need to convert a .wav file to .mp3 you can actually do that in Apple Music / iTunes:
First you'll double click on the audio recording you made in Finder so it will open in Apple Music. You will be able to find it in Recently Added. From there, navigate in the menus to File > Convert. This may default to AAC file type (instead of "Create MP3 Version shown here). If you don't want that file type you can change that in Preferences:
To change it to the file type you want, go in the menus to Music > Preferences > Files
Click on Import Settings and then choose the file type you want:
Click ok. Now, when you go to File > Convert it should show you the file format you chose as an option now.
If you need to locate the new file in Finder, you can open this new audio recording in "Show Album in Library"
From here, click on the 3 dots and choose "Show in Finder":
You'll find all music you've added to Apple Music / iTunes here: