I was looking for a solution to convert my motion trail directly into a spline and found this topic. Thank you so much guys, it helped me save time!! 
Just in case someone else you stop by, here is a small modification I made, because when I used the script from
Mallen, I had an offset issue, due to the fact that the object I was creating the spline from had a parent with rotate values above it.
So I slightly modified the script to get the world space values through xform command, instead of the translates of the object.
Hope I can help:
{
int $S= playbackOptions -q -min
;
int $E= playbackOptions -q -max
;
string $object[] = ls -sl
;
$objectX = $object[0] + ".tx";
$objectY = $object[0] + ".ty";
$objectZ = $object[0] + ".tz";
string $makecurve;
string $knots;
int $k=0;
vector $t;
$makecurve="curve -d 1 ";
while($S<=$E)
{
currentTime $S;
$t=xform -q -ws -t $object[0]
;
float $tx=$t.x;
float $ty=$t.y;
float $tz=$t.z;
$knots=$knots+" -k "+$k;
$makecurve= $makecurve+" -p "+$tx+" "+$ty+" "+$tz;
print $makecurve;
print "n";
$S++;
$k++;
}
$makecurve=$makecurve+$k ;
eval $makecurve;
}
Cheers!
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