Answer
If you are using Wise for Windows Installer, Wise Installation Express, or Wise Installation Studio, there is no way of converting an .exe into a .wse.
With Wise Installation System 9.02 Professional version and Wise Package Studio, however, there is the SetupCapture tool that allows you to convert a legacy .exe (meaning it contains no internal .msi) into either an .msi, or a .wse (WiseScript) file.