Need help with Component vs. HDMI vs. DVI

I recently purchased a Sony XBR LCD 32” TV and am using the Scientific Atlanta Explorer 3250HD Cable box (www.astound.net) I am using a component connection (5 wires) from the cable box to the TV. My retailer recommends that I change my cable connections to DVI output on the cable box to an adopter and then to the TV via HDMI. He states that with a component connection, the cable box will convert from digital to analog and the TV will convert back from analog to digital. He claims the picture on my Sony will be much improved using DVI through an adopter box (about $30) and then HDMI (to the TV).

He suggests I contact my cable company to determine if the Scientific Atlanta Explorer 3250HD Cable box is available with a HDMI output since this would eliminate the adopter and the audio cables.

Should I switch from a component connection to the DVI to an adopter to the HDMI connection from the cable box to the TV? What are the advantages, picture wise, of changing my cables? Is the picture quality better with a HDMI connection than a DVI connection (with audio cables)? I do not have DVD player or receiver. Thanks..