Your Integrated Development Environment (IDE), generally Nokia IDE for Java ME (Eclipse) or NetBeans will call the Java compiler (javac.exe, part of the Java Development Environment (JDE) for you automatically. This converts human-readable .java files into Java Virtual Machine (JVM) -readable .class files.
There are a few performance improvements which javac can perform for you, and you should enable these by selecting Compile with optimisation in the project properties of your IDE. This will not have a significant effect in most cases; other aspects of performance and in particular your application architecture choices will matter much. But since javac optimisation is free and does no harm, it is best to enable it.