In the admin sidebar, tools tab allows you to perform some non-routine management tasks. In the tools, drop-down menu first option is "Available Tools.

This screen helps you in converting the categories to tags or vice-versa. The link on this screen takes you to the Import screen, where you can install plugin. Once that plugin is installed, the Activate Plugin & Run Importer link will take you to a screen where you can choose to convert tags into categories or vice versa.

The need of conversion occurs when you realize that other will work better for your post.