Rainer,
for the following cameras is the raw format supported in iPhoto: http://support.apple.com/kb/ht5955
I cannot find your camera "Sony ax65 SLT" on the list of supported camera. Is "Sony ax65 SLT" the same model as "Sony Alpha SLT-A65"? Then it would be supported, but if not, you cannot use the RAW format from the camera directly with iPhoto.
and I would like to know if Iphotos converts raw images into jpeg better than if I were just to shoot in jpeg mode and let the camera compress it all
RAW developement is widely a matter of taste. iPhoto uses the same RAW support as the professional application Aperture, and it is really good. But since it is specific for each camera, it is hard to give a general answer.
I know you can get photoshop or lighthouse to convert raw images but from what I have read it can be a bit of a process on a imac
Shooting in RAW is advantagous, if you need to do a lot of editing. But if you are not planning to do much editing and like the way your camera developes the raw, shoot JPEG. This way you will see directly when taking the photo, how it will turn out and are not in for surprises later. If you want to use in-camera settings and special programs your camera offers, you can only use them when shooting JPEG.