You can:
1) Highlight sequence and select consolidate/transcode from menu (then transcode in dialog box). Apply handles as needed and it will transcode to a codec/data rate of your choosing. Depending on version of software and project type, you may be prompted to transcode/convert to project frame rate and raster.
2) Move sequence to its own bin. Set bin display to show reference clips. Sort by clip and move all master clips to their own new bin. Depending on version and project type, and if you want to keep original frame rates, move the clips back to their proper project type and transcode, then bring clips back. Or transcode with conversion to project frame rate.
3) I always opt to take the transcode hit up front. As much as I want to believe the “edit right away” marketing message, there are too many factors working against it.
Michael