The main benefit of a site like this is not in converting files you have made. Why would you as you have the software that was used to create the model and if you needed to pass it on to someone else then you could do so in any number of export formats. This site is useful when you have a model that you have downloaded that is in a format that Blender can't import. There are a number of sites that offer free models for download but they are often in formats like .max or .c4d which Blender can't import. Using this site to convert those models poses no risk to you and results in the opportunity to use a model that you couldn't otherwise have used.

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