def files():
    with rarfile.RarFile(archive_path) as rar:
        for filename in rar.namelist():
                yield filename, rar.open(filename)

with tarfile.TarFile.xzopen('archive.lzma','w') as tarf:
    for filename, file in files():
        tarf.addfile(tarfile.TarInfo(filename),file)
        file.close()