Don't try to switch from RWX to RWG. RWX and RWGs are two completely different formats and are not interchangable extensions. RWX are Renderware 2 Scripts, they're written in ASCII. RWG are Renderware 2 Binary models proprietary to WorldsPlayer, they're a nonstandard Renderware format based off of RWX used only by the development team for official content.
There are people out there who have RWG generators and leaked SDKs but I don't know who has them or where to get them, and considering they are confidential property, I wouldn't count on it.
To load an RWX file as an avatar, you need to insert it into your worlds.ini and restart. (see
kangworlds.net "Wearing your Avatar") You can also use the WorldsPlus mod by Wirlaburla which completely removes the avatar format restrictions and should bypass the error message.