if the player in your stereo setup is capable of mp3 playback there is no reason to convert them. If your player does not support the format, you will have to convert them IF you want to play them on the player in your main set-up. It is highly likely that if you burn an AUDIO CD using these mp3 files that the burning software will convert the files.
Alternatively, you can hook up your computer to your main system and use it as yet another component of your setup. Nice if your want to play around with compilations or want to play a long, prepared list of tunes without having to change the disk all the time.