To do what you want (ie. add a price filter), you will need to make your categories 'normal' and add the price filter to your sidebar.
Here's a tutorial on how to add a price filter (and other filters) to your store: /showthread.php?t=3853
The price filters that you are creating will not work with products stored as posts in WordPress. You will need to use another WP specific method of filtering those posts by price.
So basically you will need to set your categories to normal and follow that tutorial (link above) in order to get the functionality you want.
There's no way to mass edit your categories. You will need to set them to 'normal' individually.