Here are some useful link which will help you to understand the process http://salesforce.screensteps.com/m/salesforce_example/l/22382-how-do-i-convert-a-lead http://certifiedondemand.com/configuring-salesforce-lead-conversion/
As we know whenever a lead converted it create Contact and Account. So you can write a trigger on Lead which will fire on update event of Lead and can filter the converted lead in trigger using isConverted = TRUE field on lead, and then easily create multiple contacts.
http://salesforce.screensteps.com/m/salesforce_example/l/22382-how-do-i-convert-a-lead
http://certifiedondemand.com/configuring-salesforce-lead-conversion/