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No. Some religions see themselves as the one true path and believe they must convert the non-believers, but this doesn't mean they're right, it's just their views. You can follow anything you want if you feel it's right to you. Not every religion preaches the same thing, so to someone who believes in reincarnation, being threatened by hell is like saying 'if you don't like anime Godzilla will attack you.'
If you choose to convert, make sure you do it for the right reasons. Soul search, research, and decide on the one you feel drawn to because it feels right. Don't go with superficial reasons like holidays, spell casting, to show off/rebel, or to fit in with others.
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