There are several factors to take into consideration. For starters, how often do you run that sequence, and how long is the job executed by the other executables? If you do not call them very often, and the job they execute is not very short, the load time itself becomes insignificant. In that case, I'd say go with whatever fits the other needs. If, OTOH, you do call them quite a lot, I'd say make them DLLs. Load them once, and from that point onward every call is as fast as a call to a local function.
As for converting an exe to a dll - it should not be very complicated, but there are some points when working with dlls that require special care: using dllmain for initialization has some limitations a regular main doesn't have (synchronization issues); you'll have to keep in mind a dll shares the address space with the exe; CRT versions discrepencies might cause you grief and so on.