Go for JAA directly... you're just risking a lot of problems with the conversion since the JAA are strongly pushing for the ban of all conversions and JAA training outside EU airspace. I think it was 1st of Jan 2011 that the official ban is going to take place but it might happen a lot sooner...
The only way to get conversions in the future is if you have airline experience, that means a type-rating and a couple of thousand hours on aircrafts above 5700 kg...
I did my CPL after my ME-IR and I think it was a good way, but it all depends on where you do it. The CPL training includes different things depending on the country...