Mass Update/Import

We are looking at doing away with Leads and converting all of our existing leads to opportunities.  We are discussing the best way to do this.  We have a few ideas...such as running a report with all the lead data and saving as an excel file, and then importing that file as an opportunity.  Another idea is converting all the leads to opportunities and then importing the data that doesn't convert over.  Just curious what the best way to do this would be?  We are worried about keeping all the related tasks with the leads when they are converted.  It