This kinda depends on what you'd call a "conversion". If it's a blog, you're the primary creator of the content, and if it's a forum - then it's the members. So, if you are planning on drastically changing the type of the site (and the content creation mode), you might as well just install forum software either alongside the WP or even instead of (if the blog wasn't that big).
But if all you want to do is to have better organizing of replies in the comments so they look more forum-like, i.e. it's easier to tell who replied to who's comment, you don't really need to "convert" anything. Just look for a better comment plugin. There are a ton
of them on WP plugins page: http://wordpress.org/extend/plugins/tags/comments