Not all of those Molex to PCIe converters are made of the same caliber parts - some use crappy/cheap 22AWG wires and other use thicker 18AWG wires.  If you're trying to power 5970/6990/7970s with those cheaper 22AWG wired ones you'll have a fire.  If you're running a "lowly" 7770 that pulls most of the power off the board you should be OK even with the thinner 22AWG.

The ones that came with the Sapphire 6870s and 6950s I bought have all been decent and not one has given me problems.  Of course I don't pack my rigs past 4 cards per board so they probably pull less through the PCIe power (I'm not sure how the power is distributed).

NEVER use a SATA to PCIe connector - don't know who the hell thought of that idea but that is just asking for a problem since the SATA connectors were never designed to deliver that much power.