Hiya, as said you'll have to add the extension in the "Level properties" dialog, just to be sure.
And as for the usage of the "j2b"-format... it may look a bit more "professional" but:
- one cannot replay the song, once distributed, outside JJ2
- using J2B causes severe incompatibilities with JJ2 for the Macintosh

As, most likely, you'll package the levels and music up anyway (in a .zip or whatever package) the compression benefits can be discarded.
I'd say DON'T use mod2j2b and stay compatible!