Conversion costs aren't too bad. The same rules apply for all ICAO licenses when converting to JAA.
PPL with <100hrs - all the exams and skills test (training as required).
PPL with >100hrs - Air Law, Radio, skills test (training as required).
CPL - CPL or ATPL exams, skills test (training as required).
IR - IR or ATPL exams, minimum 15hrs training, skills test.
ATPL - exams, skills test.
If you're going airline, just do the ATPL exams; they cover you for both the CPL and IR. There's a lot of bollocks thrown around on here about what airlines do and don't want. I don't work for an airline, but I know a lot of people who do; someone who acquired their JAA CPL/IR or ATPL by converting from another ICAO license is not regarded as being a problem.