Why do you want to convert parts in a linked file? As I understand, the advantage of manipulating parts is that you have more control over the way the layers of a component (wall, floor, etc.) are made or join with other parts/components. However, if you have those parts in a linked Revit file, you cannot manipulate them, you can only see them.
Can you explain more in detail why you want this? Perhaps there is a different solution for what you want.