So Spake Martin:
Yes, a league is three miles.
And on the issue of distances and inconsistencies:
I have deliberately tried to be vague about such things, so I don't have obsessive fans with rulers measuring distances on the map and telling me Ned couldn't get from X to Y in the time I say he did.
However, if you really must know, you can figure out the distances for yourself. The Wall is a hundred leagues long. A league is three miles. Go from there.
But if you turn up any mistakes in travel times by using that measure, let it be your secret.
Shhh! We won't tell if you don't!
P.S. Do not click this link.