OK.. Just learned you can totally skip some steps...
1. In Mapsource, select the route you want to convert, then copy it to the clipboard. (Right-click on it and select 'Copy' or hit Ctrl+C)
2. Now Open WinGDB3, click the 'To clipboard menu' button on the lower right.
3. Clipboard conversion windows opens.. 11. is selected, hit 'Convert to clipboard'
4. Go back to Mapsource and hit Ctrl+V or Edit - Paste.. bam! Track is pasted into Mapsource.. You do not need to open a second Mapsource window.