If you want to keep the size of your RAW-files reasonable (and you really want that), you should do this little conversion step once you have imported them into Lightroom.
The advantage to convert your RAW-files into DNG’s (Adobe’s RAW format) does not only save you some valuable disk space. It also keeps your RAW-files more compatible with other applications.
Problems some of you sometimes face are for example that you want to join the RAW edit of the week over at Fro Knows Photo and then find out that you can’t import it into your current Lightroom version.
This could have been avoided if the RAW-file would have been converted into a DNG beforehand.
Don’t get confused by the different extensions (read names) the RAW-files have. Nikon names them NEF, Canon call them CR2 and Adobe gave the less cryptically name DNG what stands for digital negative.