If you are currently able to read .epub natively it might be worth doing. I won't say that one is better than the other but in converting from one format to any other rarely increases quality.
Of possible interest: .epub seems to be about 1/2 the size of .mobi in those cases where I can make a direct comparison.
Consider
this example picked at random from the front page of Project Gutenberg. The "Kindle" files mentioned below are .mobi:
EPUB (no images) 181 kB
Kindle (no images) 533 kB
EPUB (with images) 1.0 MB
Kindle (with images) 2.2 MB