I'm assuming you're in Rhino 6 if you don't see it on the right click. If so, it's located here under the main material editor. Just click on the pull down menu and select "Octane Material" and it will change the Rhino material to an Octane material.
Also, one other note . . . if you decide to convert all materials to octane materials by right clicking in the Octane Settings tree, the only materials it will convert are ones that are used. Just FYI.