Yes you can convert it from one to another, obviously it makes sense not to convert from a low quality version to a higher one as it won't "put the quality back in".
If you have them as Apple lossless and then decide you want them in mp3 (because you buy a non iPod mp3 player, I fail to see why you would, but lets say you did) you just go into preferences and set the format to mp3. Then find the tracks you want to convert, highlight them, go to the Advanced menu and choose "convert track to mp3".