If they're only a couple of seconds long, and if you've got ample spare memory, then yes you're probably better off not converting them.
If they're longer files, or if memory is scarce, then you would do very well to convert them to MP3 or AAC - especially so if you plan to use them as a ringtone or text-message tone; the speaker in your phone is hardly top quality, it'd be very difficult to hear the quality loss of compression using a phone speaker at ringing volume!