go one better- convert them before you conquer. just stick as many religious characters or agents into the province before you try and conquer them, perhaps you could leave them a few turns during the seige so that when you have taken the city it is already filled with willing converts. it makes sense to start the conversion as soon as you can. just beware of doing it to romans as you migh find that lightly guarded city revolts to the rebel faction and suddenly gains a massive garrison!