In iTunes (I'm using 4.5 and just noticed today, but it probably works in older versions as well), if you hold down the Option key while clicking either the Import button or selecting "Convert Selection to xxx" (where xxx is your currently selected import codec) item in the Advanced menu, you will be prompted to select a destination folder to save the converted file to.
Handy when you need to convert a file to a different format and don't feel like digging through the iTunes Music folder hierarchy to find it.
Unfotunately (in my opinion at least) it still adds the file to your Library. However, no matter what your iTunes preferences are set to, it does not copy the file to the iTunes Music folder.
Mac OS X Hints
http://hints.macworld.com/article.php?story=200405011445038