Is this possible to set in the 
"Tag to Filename" dialogue, or do I have to write an action to do it?
By default Mp3tag deletes all Windows invalid characters (\ / : * ? " < > |) when doing this.
You can append the mask with the scripting command $validate.
You can specify a replacement character in this command.
You can define a separate validation for each part of the mask.
E.g.: $validate(%artist% - %title%,) validates the whole mask.
$validate(%artist%,-) - $validate(%title%,)
defines a hyphen for ARTIST and an uderscore for TITLE.
Thanks, but $validate seems to replace all invalid characters with the same character, not each one with a specific character that I choose.
I've found out that I can use $replace(string,from,to) from the predefined functions in the dialogue, which would then do this for example:
$replace(%track%,*,+) would replace all * in the track title with +
also, I can continue adding from,to pairs in the same bracket and it will replace all the characters I choose, like this:
Title tag:
Titoli di Testa: "Canzonetta" / Notturno II [*]
Tag to filename format string:
$num(%track%,2) $replace(%title%,*,+,/,-,:, -,",'') the last thing in the brackets are 2 apostrophes
Resulting filename:
01 Titoli di Testa - 'Canzonetta' - Notturno II [+]
Is this a proper thing to use in Tag - Filename dialogue?
See also ...
Renaming files with tag, replace trailing periods
DD.20120904.0755.CEST