You can create embroidery designs from both vector and bitmap sources, so bmp to xxx conversion is certainly doable. It is somewhat easy from vector graphics, but it can be pretty tedious from a raster picture. Some dedicated embroidery software with digitizing function is needed, i.e a program that offers function that gives users the tools to process standard graphics and save it as embroidery design, in this case from BMP graphics to .xxx files.
Open BMP file Open XXX fileAn embroidery designs manager
An embroidery design tool from Janome
An embroidery digitizer