Patrick,
A couple of questions ...
When you say that you are converting master data in ECC - are these new material numbers being created ..? ECC does not allow you to physically delete master data - you will have to put a deletion flag against the same and new transactions will use the new master data and the old data remains.
If you are converting the transaction data also in ECC - then all that you have to do is drop and reload the transaction data in BW and you can delete master data in BW.