Be very very careful indeed. I was unable to convert a JAA medical to a UK class 1 due to problems I will not go into on a public forum due to a possible court case. This is despite there being a clear procedure laid down in the regulations by which medicals must be convertible between JAA states. The result is that I am financially ruined and without a flying career.
The short answer is if you don't wish to risk being without a medical I would advise getting a medical in the country you wish to do your exams and CPL flight test in.