I think you forgot to select all your faces when you did the quad-->triangle thing, because I see your cylinders are still made of quads. You have to select all the faces you want to change. Pretty much anything you do in Edit Mode applies only to the vertices/edges/faces you have selected. ;)
With quads (left) and with tris (right):
(http://img227.imageshack.us/img227/2436/quadsc.jpg)(http://img80.imageshack.us/img80/7940/tris.jpg)
If you want some additional feedback on improving your model:You've got some faces on the bottom of the model that probably won't be seen in-game. You generally want to remove these, since they'll still be stealing computer resources. The exception is the bottoms of feet and stuff like that, since you might see those when a character is walking, but the bottoms of buildings and stuff like that is generally better to remove.
Bottom view:
(http://img706.imageshack.us/img706/6973/superfluousvertices.jpg)
Also, your model is very much off-center. I don't know if you mean for it to be up in the air or not (hey, it's magical, so why not, right? :P). Anyway, the red line in Blender from the front view (and the blue line is side view) corresponds to the ground in Glest, so if you want it to sit on the ground, just move your model down a bit. (7 for front view, G to grab, Y to constrain it to up-down only)
Front view:
(http://img268.imageshack.us/img268/5251/movefront.th.jpg)
Click for full size. (http://img268.imageshack.us/i/movefront.jpg/)
and it's also quite far forward from the center, so you can fix this by going to side view and moving it along the z-axis (3 for side view, G to grab, Z to constrain it to forward-backward only)
(http://img692.imageshack.us/img692/5793/moveside.th.jpg)
Click for full size. (http://img692.imageshack.us/i/moveside.jpg/)