I convert all my STEEM and SBD to SP.
A higher SP increases your voting power which enables you to be more valued on here. Also, SP enables you to offset the inflation of the token since SP are given more STEEM to compensate for what they lose due to inflation.
To me, it is a win-win.
Plus if someone does get your key somehow, it takes 13 weeks to power down so someone cannot drain your account like they can with bitcoin and other tokens.