How do I change air dropped pics from my phone to my I Mac to JPEG?

I use Preview.

Preview User Guide for Mac - Apple Support

To get the "Save as..." command in Preview, you have to hold the OPTION key while selecting from its "File" menu.

Once you have the "Save as..." dialog box, other format options are available:

You can also change the format the iPhone uses for images. On your iPhone, Settings > Camera > Format has this option:

You can try "Most Compatible" and see how the works.

+1 I use Preview too, it's already pre-installed on the computer. You can also import the photos into the Photos for Mac app and then export the photos as JPG's if you want which is a little labor intensive (assuming you do not use the Photos for Mac App) but it's another method.