Can I directly convert chats to leads within Salesforce?
No. As a workaround, you can leverage Ticket Creation for your chat transcripts and integrate your Support account with Salesforce instead. For information on setting up the Salesforce integration with your support account, see the article: Salesforce integration resources.
You can, however, integrate Legacy Chat with Salesforce to convert chats to cases. This integration only creates cases and not leads. For more information on this, see the article: Installing Zendesk Chat for Salesforce.