One of the easiest conversions to make (provided you have the tools) is the head swap. Head swaps ae great for when you have a figure in a favorite pose, but you want him bare-headed or with different headgear.
All you need is a razor saw, pin vise, brass rod (or paperclippage) and maybe some greenstuff. You'll also need two figures, one of which you may be sacrificing if you are simply doing a head trasnplant (and not a "swap.")
When sawing off the head to be transplanted, try to save as much of the neck as possible, It's easier to work with more than less, and you can file off whatever you don't need later. When sawing off the head of your posing figure, try not to saw off any clothing such as necklaces or shirt/coat collars.
Test fit the head onto its new body. This is also a good chance to see how the head looks facing different directions. Once you're happy with a fit, drill holes in the head and the neck; drop a pin in the neck hole, do one more test fit, then glue it together. After the glue has dried, use your green stuff to fill any gaps or fix details.
Do you have Photoshop and a digital camera? Then you can do some basic visual headswaps to see what you're getting yourself into before you put saw to metal.
Everybody has a lead mountain of unpainted miniatures. Grab a couple and get a little practice.