Acoording to this resource, the Samsung players do not support WMAs through the Overdrive app.
Even though WMA is supported on some PMPs, for WMAs, you are still forced to connect your device to your computer, download the files excruciatingly slowly onto it. Once you listenened to it, you can not return the audiobook, like you can MP3s, but have to wait until the predetermined amount of days are over. During this time, that audiobook just sits in your Overdrive checked items list, preventing you from checking out one additional item. I hate it when audiobooks are only offered in WMA, therefore. With MP3s, I can listen to them directly through the (very awesome) app, and return them when I am finished.