How do I withdraw USD from Mt. Gox through SEPA? Can Mt. Gox convert USD to EUR or do I have to convert it through Bitcoin myself?
Mt. Gox has a BTC/EUR market so you can sell your bitcoins for EUR and withdraw them.  

But you mention that you already have a USD balance at Mt. Gox.  The cost to convert them to EUR within Mt. Gox will vary based on the ask price on the BTC/USD market and the bid price on the BTC/EUR market.  It is possible you can buy BTCs with your USDs, then sell them on the BTC/EUR market and even after fees still end up paying less than any other conversion method (based on the forex EUR/USD exchange rate).  

However, if you simply want to do an international withdrawal, you can withdraw USDs to your bank and your bank will charge you a conversion fee to change those funds into EUR.  Wire fees from Mt. Gox apply.

For smaller amounts (e.g., less than $1K USD or so), you will likely find it more affordable to buy bitcoins and sell them for EUR then withdraw as an inexpensive SEPA transfer.