You're on the right track, Jim Using a single loop control variable like 'finished' is good programming practice. I applied the same principle to the nested loops contained within the case structure as well.

Code:
using System;

namespace CSharp_Lesson_1_4_Practice
{
    public static class Program
    {
        public static void Main()
        {
            // The purpose of this program is to create a temperature converter from Celius to Fareinheit and vice versa.
            bool exitMain = false;

            do
            {
                string inputTempStr;
                string optionStr;
                int optionInt;
                float fTemp;
                float cTemp;
                bool exitConvert = false;

                Console.WriteLine("This program converts temperatures between Celsius and Fahrenheit.\n");
                Console.WriteLine("Which do you want to convert:");
                Console.WriteLine("1. Celsius to Fahrenheit");
                Console.WriteLine("2. Fahrenheit to Celsius");
                Console.WriteLine("0. Exit\n");
                Console.Write("Enter 0, 1 or 2 for your choice: ");
                optionStr = Console.ReadLine();
                optionInt = Int32.Parse(optionStr);

                switch (optionInt)
                {
                    case 0:
                        exitMain = true;
                        break;
                    case 1:
                        do
                        {
                            string eval;

                            // ask for user to input Celsius temperature
                            Console.Write("Enter the temperature in Celsius so I can convert it to Fahrenheit for you: ");
                            inputTempStr = Console.ReadLine();
                            cTemp = Single.Parse(inputTempStr);

                            // calculate Fahrenheit value
                            fTemp = ((cTemp * 1.8F) + 32.0F);
                            Console.Write("The temperature from Celsius to Fahrenheit is: {0}\n", fTemp);

                            // see if user wants to perform another Celsius to Fahrenheit conversion
                            Console.Write("Do you want to continue? (yes/no): ");
                            eval = Console.ReadLine();
                            if (eval.ToLower().Equals("no"))
                            {
                                exitConvert = true; // no? set convert loop control variable to false
                            }
                        }
                        while (!exitConvert);   // exit temp conversion loop?
                        break;
                    case 2:
                        do
                        {
                            string eval;

                            // ask for user to input Celsius temperature
                            Console.Write("Enter the temperature in Fahrenheit so I can convert it to Celsius for you: ");
                            inputTempStr = Console.ReadLine();
                            fTemp = Single.Parse(inputTempStr);

                            // calculate Fahrenheit value
                            cTemp = ((fTemp - 32.0F) / 1.8F);
                            Console.Write("The temperature from Fahrenheit to Celsius is: {0}\n", cTemp);

                            // see if user wants to perform another Celsius to Fahrenheit conversion
                            Console.Write("Do you want to continue? (yes/no): ");
                            eval = Console.ReadLine();
                            if (eval.ToLower().Equals("no"))
                            {
                                exitConvert = true; // no? set convert loop control variable to false
                            }
                        }
                        while (!exitConvert);   // exit temp conversion loop?
                        break;
                }
            }
            while (!exitMain);

            Console.WriteLine("Goodbye!!!");
            Console.ReadLine();
        }
    }
}