If you get errors when trying to convert an EXS, don't despair: most likely, the errors are just Decent Sampler complaining that it can't find the samples, but the conversion will still have taken place. To troubleshoot this, save the preset out to a file (using the Developer Tools > Save Preset As... menu option) and look at the dspreset in a text editor. Check to make sure that the paths look right in the <sample> tags.
Another thing to note: some EXS files make use of audio formats that Decent Sampler doesn't support (Apple's proprietary CAF format, for example). You can still do the conversion, but you will have to find a way to batch convert your CAF sample files to either WAV or AIFF format (formats that DS can read).