Hi
@Dan MarianiI'm confused by your use of strategic themes as user stories but want to convert down a level but the answer is the same. You'll want to select the work item and then select the option to convert it. See my attachments for visuals. Below is a link to the techdoc explaining it in more detail.
https://techdocs.broadcom.com/us/en/ca-enterprise-software/agile-development-and-management/rally-platform-ca-agile-central/rally/using-top/work-effeciently-rally/convert-work-items.html