You may have known that holding the Option key down before activating the Advanced menu in iTunes yields the 'Convert to [format]...' (where [format] is the audio format you've chosen in iTunes' Preferences) menu item, which is useful for selecting a file on your computer to convert to your preferred audio format and adding it to iTunes.
If in the Open dialog, however, you select your desired file(s) and then again hold Option before clicking the Open button, iTunes will immediately open another file dialog asking for the destination in which to place the converted file, regardless of music folder location preferences.
Note: The converted file is still added to the iTunes library. This hint just gives you control as to where the file will be saved in the Finder.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20080509172703501