If you do not want to download files OTA because of a limitation on your data plan you can do it in a number of ways. Converting them is one, but there is a simpler alternative if you have a memory card.
1. Download the required files to your desktop and plug in your BB via USB (enable mass storage mode)
2. drag and drop the files into your documents folder on your berry
3. unplug your Berry from the usb and navigate to your media folder on the device.
4. click the menu button and choose explore - then navigate to the documents folder where you saved the files.
5. click on the .jad file to trigger the installation.
Hope that helps. This info and info about how to convert the files themselves into .alx extensions can be found here. BlackBerry Guide: How to Install 3rd Party Applications on Your BlackBerry | BB Geeks