OK, I said I used to be working on a .X exporter for Wings...
Well here's a preliminary version - can't export textures yet (all objects are gray), and I haven't done much testing, but it does create valid DirectX files
http://kolis.dyndns.org/ed/prog/wpc_x/wpc_x.beam
Source (in case you're interested):
http://kolis.dyndns.org/ed/prog/wpc_x/wpc_x.erl
Instructions: When you installed Wings you should have got a plugins shortcut under your wings directory. Go to that shortcut, then to the import_export directory. Place the beam file there and restart Wings. Use the new "DirectX (.x)" menu items under File|Export and File|Export-Selected.