Not sure about any other method, but can you test this bash one liner,
maybe copying your files to a directory just to test this. So if it does
not work, you still have your original files as they are now.
for i in *.jpg; do convert "$i" "`basename "$i" .jpg`".pdf; done
In your example above, you would be asking for every file with .jpg as an
extension to be converted to one pdf file named test.pdf
Whereas "convert *.jpg *.pdf" would convert every file ending in .jpg to
it's corresponding name ending in .pdf -- either try this last example or
the bash one liner above. Either way, use a test directory with copied files
so you don't accidentally hose the originals.