Using digital camera for archiving?
. . . the waiting time is not very short but given that there are only a few
thousand pages I'll put up with it.
Maybe your patience will earn you a sainthood.
Now, I wonder if I should post-convert my files to another format
than JPEG to save storage.
Not a good idea, I think. In general, once a file is JPEG, that's the best representation you'll ever get. It may be possible to convert the images in a way that doesn't degrade the quality of the image, but my experience is that the JPEG looks better and is easier to work with than any conversion.
If you need to store them, just burn them to a couple of CD-R (at least two copies of each image). You should be able to fit at least 2000 images per CD-R, so there isn't much point in looking for better compression.
I've got 1.3 million pages on CD-R, and there's still room in the desk drawer for my lunch.