Yes you do have to convert your licence to work overseas. Depends on your experience level exactly what is required, but if you hold a FAA/CPL/ME/IR then to convert to JAA you need to do all 14 JAA theory exams, training as required and the JAA CPL skills test to convert the CPL. Then a minimum of 15 hours training and a test to convert the ME/IR. Note the JAA IR skills test had to be conducted in a JAA member state.
If you have 1500 hours with 500 hours on a multi crew type (ie: an FAA ATP, or NZ ATP) then all thoery 14 exams and a LST with a JAA examiner on the type that is on your licence to get a JAA ATPL.
The above is the conversion of FAA to JAA.
It will vary depending on which country you need wish to fly in.
There are some nations where any ICAO licence is accepted and normally you may only need to sit the local air law exam and maybe a flight test to validate your licence (in particular some African countries).