Adding to what junichiro said, I did find a website giving the information he said plus some.
https://www.pygame.org/docs/tut/newbieguide.html
I'm not calling you a newbie, even I learned quite a bit from this website, and I've been using pygame for 6 years.
Also, surface.convert() only works with non-transparent images. Use surface.convert_alpha(), which works with everything. I usually create a function so I don't have to type the entire thing every time I want to load an image. Feel free to use the following 2 lines of code:
def loadify(imgname):
return pygame.image.load(imgname).convert_alpha()
This increased the fps of my game from 18 to 30 fps.
Good luck!