Converting SWF files to anything else is tricky at best.The only sure and simple way to do it that I know of is to use a screen recorder like Snapz Pro.
QuickTime has the capability to play some older SWF files, but it will refuse to even try to open them out of the box. You need to manually edit the "QuickTime Player.app/Contents/info.plist" file to include lines for SWF files. After you do that you can drag SWF files onto the QuickTime Player icon and see if it can play them. It's a good bet that it CAN'T, though, unless the SWF is from many years ago. I can't tell you exactly how to do this off the top of my head, but if you're interested I can copy and paste the modifications I made to my own file when I get back to my Mac.