Converting Materials into texture?

Is there a way to convert the materials/textures you created using (f5), the shading panel into a jpeg texture? Or make it so its able to export it along with the model when I export it into directx?

If you mean the texture the object has in the shading panels this is where baking will come in.

UVmap your model and go to the baking options, check the Blender wiki for a how-to on baking.

Keep in mind that several aspects of shading are view-dependent, so your output will not look too good.