There isn't a direct method of doing this as it is by design: The Convert Lead dialog box no longer appears during lead qualification in Microsoft Dynamics CRM Online
You could however you a workflow to delete the unwanted records:
Create a flag that indicates if the Opportunity should be created or not on the Lead and Opportunity and create a mapping between the 2 fields. Then create a workflow that runs when the Opportunity is created, if the field isn't check, delete or deactivate the record.
The full explanation is here - look for the article titled: Processing opportunities created after qualifying leads on the new User Experience forms in Microsoft Dynamics CRM