SWF files can be pretty complex things, with behaviour programmed in ActionScript, graphical elements and whatnot. So, in general, they cannot be converted into anything a Fuze could play. At least, until Adobe or someone else writes a flash player for the Fuze, and That’s Not Going To Happen[TM].
But, if you’re thinking of videos played through Flash technology (think YouTube), you might be lucky. If you can get hold of the actual video file (file suffix FLV), that might be convertable into something the Fuze will play. In some cases, FLV data is contained in SWF files and can be extracted with proper tools such as SWFTOOLS. But usually, a flash application such as the YouTube player will load FLV data separately. You can find browser add-ons to get hold of those.
Getting SMC to convert FLV videos is probably not an easy task. Especially considering the fact that FLV can contain data in different formats (codecs). Just wait until the Fuze-plays-only-SMC-converted-stuff-restriction is lifted in one of the upcoming firmware updates. I guess conversion will be easily possible with the usual tools then (MEncoder, ffmpeg, avidemux, …).