You could convert them to .wav, then import them in Modplug Tracker and save it as the desired filetype. This progress, however, multiplies the filesize in ways that JJ2 can't handle. Sorry, you're going to have to use pre-made .mod, .it, .xm or .s3m files (or make them yourself, if you can) and put those in the music box in JCS (including the extention, unlike the standard music).

Good luck.

Edit: Isn't this covered in the FAQ?