Note that the command "Convert to XXX" will have XXX be whatever your current preferenc setting in iTunes is for importing songs. So in Christopher's case, he uses MP3 as his import preference so when he right clicks he sees "Convert to MP3". If you instead like to use AAC files, then when you right click you will see "Convert to AAC".
So if you want to convert a file to another format, first make sure your import preference is changed to the format you want to convert the song. You could also pick WAV, AIFF, etc.
Patrick