I have seen people do it, but how do i do it? I mean, where are my saved worlds? and should i change them into some sort of other file when i export them?
Your saved worlds are in the Application Data path. For Windows XP this is C:\Documents and Settings\*USERNAMEHERE*\Application Data\, in Windows Vista/Windows 7, it's in C:\Users\*USERNAMEHERE*\Application Data\ (I think), but it's a hidden directory, so you have to turn on show hidden directories/files to see it.
You can get to it either way by using the Environment Variable "%appdata%", by opening My Computer and putting %appdata% in the address bar, or by going to Start -> Run and typing in %appdata%, or by putting %appdata% in the search bar at the bottom of the Start Menu in Windows Vista or higher.
Then they are in the \.minecraft\saves directory under Application Data. To go directly to the Minecraft saves, use "%appdata%\.minecraft\saves".