Converting JPG to HEIC
This is one of those searches where the honest answer is usually that you want the opposite. Here is the full picture, including how to do it properly if you really do need it.
Most people searching this want the reverse
HEIC is the format iPhones already save photos in. The usual problem is that those files will not open on Windows, in older software, or on a friend's Android phone, and the fix is to convert them to JPG rather than into HEIC.
If that describes you, the converter linked above does it in your browser in a few seconds. If you genuinely want to go the other way, read on.
Why no website can do this in your browser
Reading a HEIC file and writing one are very different jobs. HEIC stores its image using HEVC, the same compression as 4K video, and while decoders for it are freely available and small enough to ship to a web page, encoders are not. The open source encoders are either licensed in a way that would force this entire site to adopt the same licence, or too slow and untested to run on your phone.
There is also a patent question. HEVC is covered by several patent pools, and creating HEVC files is treated differently from simply viewing them. Sites that offer JPG to HEIC conversion do it on their own servers, which means uploading your photos to a stranger. That is exactly the trade this site exists to avoid, so the tool is not offered rather than offered dishonestly.
Converting on a Mac
macOS can write HEIC natively. Open the image in Preview, choose File then Export, and pick HEIF from the format menu. There is a quality slider in the same dialog. For several files at once, select them all in Finder, right click, and use the Quick Actions menu to convert images.
Converting on an iPhone or iPad
The Shortcuts app can do it without any download. Create a shortcut with the Convert Image action, set the format to HEIF, and run it on any photo from the share sheet.
If your goal is simply that new photos are saved as HEIC, you do not need to convert anything: open Settings, tap Camera, then Formats, and choose High Efficiency. Photos taken from that point on will be HEIC already.
Converting on Windows
Windows has no built in way to create HEIC files. It can be taught to read them through a codec from the Microsoft Store, but writing them needs separate image software. Given the effort, it is worth asking whether you need HEIC at all on a Windows machine, since almost nothing else on the system will expect it.
What you actually gain, and what you lose
HEIC files are roughly half the size of an equivalent JPG, which is the whole reason Apple adopted it. That saving is real when the photo starts life as HEIC.
Converting a JPG you already have is a different matter. The JPG has already discarded detail permanently, and re-encoding it as HEIC discards a little more. You end up with a smaller file that is very slightly worse than the JPG, and one that fewer devices can open. Unless you are freeing up storage on an Apple device where everything reads HEIC anyway, keeping the JPG is usually the better decision.