You can do it manually a series of steps. But, the manual process is quite tedious and risky. If not done with utmost care, it will lead to corruption of data. So, it is wise to use an OLM to PST converter to easily convert OLM files to Outlook PST with ease. I have used the software as I felt that my data might be lost. So, if you feel the same, you can go for tool else use the manual methods.