I'm using the DNG format in my workflow and are going to use a friends camera for my next photo shoot. It's a Pentax 645D and it can save the images as both DNG and PEF. I will convert my images to DNG at some point, and usually that is during import to lightroom. What are the benefits of converting in camera as opposed on import apart from the obvious second or so saved in conversion time for each image if converted in Lightroom?
One of the benefits of the DNG file is the size. They are around 15-20% smaller in file size than PEF files without any loss of quality. Also, with the DNG format the XMP data is included in the DNG file, so you don’t have to worry about the XMP data getting separated from the original DNG.So in that case there is a huge benefit in terms of organization shoot raw in DNG format rather than PEF.
Now the conversion to DNG from raw PEF (inside LR) is slightly different in terms of options. You have two options: convert raw image data as is or with some of the rawness processed out of the file (called a Linear DNG). For example; Capture One 7 has some issues processing DNG - like automatic lens corrections and optimized sharpening which depends heavily on original camera type. Again, not a problem of DNG format, but in implementation. So if you will work most of the time in LR, there shouldn't be any issue.
Summarizing all the talk, since your camera supports In-camera DNG I definitely will use it. I don’t see any a solid reason to add the conversion from PEF to DNG in your workflow since your camera already can do it on the fly.
If you like to review some of the technical topics cover in this answer this article is well detailed, DNG by Peter Krogh