You don't have to convert a priori. Import it directly to FCP X. If you so choose, you can create optimized and/or proxy versions of your media - either at import, or later, at any time.
Whether or not you need it depends on the speed of your mac, and drive, and the complexity of your edits.
If in doubt, try it out. If you find it edits away nicely, go ahead. If it slows down, try creating optimized media, or proxy media. Keep in mind that optimized media will take a lot of disk space. Proxy media uses less disk space, is faster to edit. Just switch back to original/optimized before you export, to get the best quality version out.
Just in case there's any doubt, Luis is correct. No need to transcode to prores in FCPX. I edit Canon EOS 5D Mark III and Canon EOS 5D Mark II video all the time without conversion.
But it can depend on your machine! If you have an older mac, it may stutter a bit.
Most people that talk about transcoding are talking about older versions of Final Cut or other software.
Just to add my voice to the choir,go ahead and use the original .mov files from your camera if your Mac will handle it. If you do want to convert the files for any reason, you can select the Optimize option when you import or download MPEG Streamclip and use that. In fact, get Streamclip anyway - it's free so why not?? - and then you'll have a way to convert all kinds of material. Compressor wiorks but it's a cumbersome process.
As far as the proxy thing goes, X will export using proxy material unless you tell it to use original at the time of export. Wouldn't think you should have to do that but maybe in a future update ...
You can also use Handbrake to convert to AIC or DV encoded .mov files.
Find out what broadcast format the source has (NTSC or PAL) and use that for the output settings. There is a DVCPro/DV-NTSC and a DV-PAL setting. That takes care of the frame rate and resolution, also make sure what aspect ratio the source has (4:3 or 16:9) and set that too.
Then in FCP set the Sequence Settings appropriately and you should be done.
I'm off to bed now, so I won't be able to answer for the next third of a day, but maybe Lethal or Keith or bigboss or spice weasel or matteusclement might be able to answer if you have any more immediate questions.
Be sure to also use MRoogle as the question on how to use MPEG-2 encoded video in FCP comes up once in a while.