OS X accepts the very popular png format, and I think a few others but I can't remember for sure. But even if its a format that os x doesn't accept, it will take anything from the clip board. So you can just screenshot it with cmd + shift + 4 then paste it in properties (info).

I know of converters like the one you linked. That is exactly the problem I'm trying to avoid. As an example, say I have a png file that I'd like to use as an icon. Currently I simply drag and drop that file onto the icon in properties (info) for os x. Then to do the Windows icon, I have to go to my browser, pull up a web page, browse for my png (manually because I can't just drag and drop it into the open window like on os x), convert it with the site, download it, open properties for my folder, then browse for the ico file. Its such an archaic process that I just wind up not doing it. Then when I plug my external drive into my windows computer I don't have any of my icons. I was hoping to find a solution for this.