Hi KatyT,
Without a screenshot we will need to verify a few things first:
1. Is your Revit 2015 updated with the latest service packs?
2. Are you selecting the lighting fixture or the circuit itself? The Convert to ...Wire command will only show when you select the circuit itself. You can either hover your mouse over the lighting fixture, and press <TAB> untill the circuit highlights, or you can press F9 to activate your Systems Browser. You will now be able to verify whether the lighting fixture indeed has a circuit assigned to it.
http://revitrecess.blogspot.com/