To be precise, RF signals are a form of energy so the conversion is into another form of energy.
The simplest way which works independently of the frequency band is by turning the RF into heat. But storage of thermal energy is costly or even impossible for long intervals, and further conversion (during future use) would require some kind of heat driven engine, and these have an upper limit to their effectiveness. If effectiveness is not crucial, one could build a chain from: immediately driven heat engine (e. g. a stirling engine) -> electrical generator -> electrical accumulator.
If the amplitude of the signal is large enough (about 0.5 V at least, better several V) one could rectify the signal and charge a capacitor or an accumulator using the resulting DC component.
If the frequency and hence the energy of the photons were large enough one could use a chemical process like photosynthesis to produce and store a chemical compound which has higher energy than its components. But if you are using the term RF in its usual meaning (frequency band below microwave) I guess there is no chance to find a suitable compound.
To convert received RF power to DC power, use an antenna operating at the RF frequency of interest and a rectifier circuit (usually with Schottky diode). The system is commonly called rectenna as recalled in the second answer.