Scott,
of course if you have the .wav files already you don't need any conversions.
The only place I can suggest you to look into for more info is actually the Tyros 2 user manual, where the whole procedure of loading samples is explained in detail.
Actually I think that this is a greatly overlooked feature in the Tyros 2. I have also tried commercial samples, like those from Pelmo, only to find out that their quality is definitely not on par with the T2 own internal samples. Anyway, since I have a lot of samples from my old Akai S2800, I am now in the process of converting and then loading them inside the Tyros (I have 512 Mb of RAM, which is more than adequate).
Speaking of loading time, even if the Tyros cannot compete with dedicated samplers hooked to an hard disk or the new Korg PA2X Pro (which has the fastest loading time among all the arrangers and maybe also the workstations, like the Motif ES), it depends of course on the sample size, so my advice would be: forget about loading a 50 Mb grand piano that you are not going to use much anyway and concentrate on small samples (like the jazz guitar, for example) that you can later process with the T2 internal effects and thus come up with a great sound.
A good example that comes to my mind are vocal samples, an area where the T2 is somehow lacking: they don't take up much memory (unless you are going to sample a whole choir ) and therefore can be loaded in a matter of 1-2 minutes.
If you could listen (like I did) to the raw waveforms of famous synthesizers of the past, like the Roland D-50 or the Korg M1, you would be surprised to find out how little memory they take: the secret of their overall sound lies in the power of the DSP section more than the samples themselves!