I purchased CursorFX Plus and all the cursors I downloaded for CursorXP Plus work fine on my system, so you should not need to do any converting to get them working. Just place your CursorXP files in your FX folder and you should be fine. 
Also, it would not be advisable to try running both XP and FX on the same system as it may cause conflicts... FX does all that XP did and more, so it would be all you'd need.