Energy is neither created nor destroyed,can only be changed from one form to another. Then which form of energy is converted into gravitational energy?Gravity is a form of energy, right?

Gravity in and of itself is not necessarily a form of energy. What gravity actually "is" is still a topic of debate. Different theories give different descriptions of gravity: Einstein's theory of relativity tells us gravity is a curvature in space time where as a grand unified theory attempts to describe gravity as one of the four fundamental forces (the strong nuclear, the weak nuclear and the electromagnetic being the other 3).

For the purposes of this question we may simply say that gravity is a force of attraction that exists between any two masses.

Gravity is a conservative force, which means the force will have a "potential" associated with it. This means that the work done in raising an object by some height will be exactly the same quantity of energy released when the object is dropped. For example, if you lift a ball you are doing work against gravity to give it height. As you raise it, the kinetic energy you are putting into the ball as you move it through the field is converted into potential gravitational energy ("stored" energy).

If you hold the ball up high, the ball now has all that energy you put into it to get it up there "stored" (energy that could potentially be released if you drop the ball, hence the name potential energy).

When you release the ball the energy will begin being converted back into kinetic energy. The amount of energy put into the ball in raising it up will be the exact same amount of energy released and will be amount of kinetic energy the ball has just before it hits the ground.

So in summary, we can store potential gravitational energy in objects by simply moving them to a higher location, then release that energy, usually in the form of kinetic, by simply dropping them.