Hi, WSEast!
It really depends on your CADing preferences and the type of model you're making. I typically will convert to components whenever it becomes necessary to do so, or when it would make it easier.
Converting to a component makes a body (or multiple bodies, sketches, joints, construction geometry, etc.) be defined by specific origin, which is in tern defined by the origin of either the global space, or the origin of the Component Group (if you have nested components). This means you can align/move/edit groups of objects (the component) in relation to parts outside of the component. You can also set components to have joints between various geometries in the joint. Components can also have multiple "instances" that reference each other.
So, I tend to convert once I have to start treating more than one body as one "part" in an assembly (moving/aligning a component, as opposed to a body), or when I have to start to adding joint functionality. I also will convert as soon as I have a body or group of bodies that need to be copy-pasted with reference to each other (so that editing one changes all). You can also save out components as multiple bodies in an STL, or a new file, so you should also convert when you need that functionality.
As you get further along, it'll become more intuitive to know when start converting. Typically, I do it as early as I can, but not for the sake of converting - always for a specifical functional need. More often than not, I'll make blank components and move parts into it.
I'd be interested to see when others convert! Again, it really depends on the engineer and the product.
Hope that helps!
Tanner
Tanner Reid
Product Design Engineer