Yes you have to convert them all. Depending on which elves you are going to use (Lothlorien/Mirkwood and/or Eregion and Rivendell). I found that the 1st alliance elves (Eregion/Rivendell) were the easiest to convert.
For the Shield Elves, I simply took the Elven Blade warriors and clipped their arms off at the shoulders and repositioned them. Cut the hilt off above the hand of the left arm. Then be creative on what you use as a shield and slap it on the left arm. I used a molding plastic that I got off ebay. It basically allowed me to make all the shields from the 1st Alliance shield elves out of green stuff. Prior to that I made the shields out of plastic-card.
For the Spears...either go expensive or keep converting the Elven Blade warriors. Expensive is to take the existing Spear elves and minus the shields, then use greenstuff to make a "empty" hand that was carrying the shield. The other way is similar to above, except you clip off all the sword parts and get brass rods. Drill a small hole in one hand, slip the brass rod through and viola!! Elven spearman! To get extra crazy you can, with a small enough rod, take the elven blade you just chopped up - clip the blade off - drill a hole in the base - and attach the rod to the blade ...or just use plasticard/greenstuff to make the blade.
For the bow & spear...take a bow elf and slap a brass rod on their back - add a spear blade/tip - and greenstuff a strap to somewhere along the shaft to give the sense its secured to the armour as opposed to magically bound to the warrior
Or you can take a converted spearelf and using the brass rod - curve it to represent a bow - and secure it to the elf -- then use greenstuff/bits/etc to make a quiver and arrows. If you find making a quiver to taxing, then get brass rods and clip them short enough to mimic arrows - use plasticard/greenstuff for fletching - and then "stick" them in the ground before the archer.