Which format you choose depends on where you want to play the videos and what capabilities your player has. If these are high definition videos, you would need a blu ray player and keep them as mkv or possibly go to AVCHD or blu ray format.
If the videos are standard def, you could convert to dvd-video.
Look at a program called MultiAVCHD. It is free to use, and has the ability to make menus for you. And it can convert to AVCHD, blu ray or dvd-video…whichever you prefer and whichever fits your playback equipment.