The latest version of Dufse 3.0.4 does not convert .hex files to .dfu. Y...

First off to Flash Sparky with a USB cable you need DfuseDemo. The latest version from STmicroelectronics (3.0.4) has a bug and will not convert .hex files to .dfu files using DfuFileMgr which is one of the two software tools needed to push a binary directly to Sparky's main processor. 

In the support folder you will see a folder called DfuSe. In that folder is a zip, and extracted version of DfuSeDemo version is 3.0.2 .

Copy this folder to your PC, and in the the DfuSe>BIN folder you will find DfuFileMgr (the program used to convert a .hex to a .dfu), and DfuSeDemo, software used to push the .dfu to your STM32f303 processor. And in this case the Sparky board's main processor.

For a complete walk through on how to push binary's to a STM32 bootloader using native STM tools (Dfuse), visit http://youtu.be/BFv6FrkXf0E

Lastly you will need to download a VCP (virtual com port) driver from STmicroelectronics website. The link is here. http://www.st.com/web/en/catalog/tools/PF257938 this driver will convert your USB device (Sparky) into a com port device.