How can I convert .mkv files with subtitles?

I recently downloaded a bunch of .mkv files that had subtitles when I played them on the computer. I wanted to convert them to another format so that I could watch them on my ps3, but whenever I do the subtitles won't appear, and I couldn't get them to show on the ps3 either. I'm using mkv2vob, and I tried "Always encode subtitles", but that gave me an error. Is there a way to convert mkv to another format and make it have subtitles?