There are some things which you need to be aware of before changing the format to NTFS. All memory stick devices are formatted to either FAT or FAT16 or FAT32. The advantage of FAT16 or FAT32 format lies w.r.t Windows. Windows disables "write caching" on flash devices. With FAT format you can remove the flash drive as soon as read/write is done. You need not worry much about the Windows safe removal process. Many a times we neglect the safe removal process and just unplug the device. In such scenario's stick to FAT format.
Once formatted to NTFS, You need to carry on the Windows safe removal process perfectly. Else the device may easily get damaged.
The advantage in NTFS system is that you get a huge performance boost while dealing with small size files. For larger file sizes, it is not recommended becoz NTFS uses many read/write cycles.
Summarizing above..
Small file sizes transfer: Use NFTS format
More Data reliability: Use NFTS format
If above is your scenario, proceed to NTFS format. Else stick to FAT.