Let me add:
I've done a few monster conversions. It's overall fairly easy.
The one pitfall I've hit is dealing with skills and skill points---you can't just copy the skill statblock over because of skill consolidation and a few other things (many creatures have listen, spot, hide, and move silently which doesn't instantly fold neatly into stealth and perception). It's the one thing where it's worth taking the time to calculate how many skill ranks per hit die the creature has and building up their skills from scratch. It's not hard, but it takes a little time to do right--more so than say, copy over the feats and add a couple additional for increased feat advancement.
Plus it's always nice to know that while converting whatever monster you want over; you have free reign to change whatever you wish :). I know theirs a couple monsters out their that need a little TLC (Ocean Strider MM II, Any Giants posted before 3.5). But yeah skills are probably the most difficult, and one thing to look at is generally, most monsters have a REALLY high perception. Might be because most rogue have an Insane stealth score (could just be my group).
Either way, good luck and happy gaming!
I usually don't even mess with converting anymore. At first I was very worried about it - but anymore I just use their 3.5 stats as is and award xp as if they were 1 or 2 CRs lower.
For the purposes of conversion I will throw my lot in with those saying skills is the most time consuming. Even then, it is still pretty easy.