As was pointed out - the loss occurs when you turn your sample *into* an mp3. It doesn't make much difference whether you drop it into your DAW as an mp3 or convert it back to a wav first. Converting *into* an mp3 involves throwing out some of the information so you can squeeze it into a much smaller file. Once that information is gone, you cannot get it back. Most professional commercial samples will be in wav format, while most of the stuff floating around the internet for free will be mp3s.
That said - use the mp3 if it sounds good to you. Audio quality isn't everything. Sometimes people go to a lot of trouble to decimate the audio quality of something because it sounds good that way - your basic guitar amp is a crap playback system, but it can sound great for electric guitar. Lots of mp3's are perfectly usable, they just won't be super hi-fi. Youtube stuff is even more compressed than most mp3s, so stuff sampled from youtube mostly sounds very noticeably crap, but hey, even that might be the effect you want.