openssl pkcs12 -in myCert.p12 -nocerts -out $HOME/.globus/userkey.pem
You must set the mode on your userkey.pem file to read/write only by the owner, otherwise grid-proxy-init will not use it.
Asks password for PEM sertificate.
(chmod go-rw $HOME/.globus/userkey.pem).
Delete the myCert.p12 file created above to avoid security issues.