Pena, who cleared waivers, threw a bullpen session with Royals pitching coach Bob McClure on Friday, and played catch again on Sunday at Kauffman Stadium.
Pena tried to downplay his potential position change -- "I'm just here to work out," he said -- but Hillman confirmed that Pena will be heading to the Royals' Spring Training complex in Arizona shortly.
"I've talked to him about two or three times," Hillman said. "He's all for it for right now."
Pena, of course, has a long process ahead of him. He'll likely spend multiple weeks working on the mound in Arizona.
And how long it takes Pena to develop as a pitcher is anyone's guess -- including Hillman's.
"It depends on how quickly they take to it with stuff, command, touch and feel, and how resilient their arm is," Hillman said.
But because Pena has tremendous arm strength, Hillman said he'd like to see the former shortstop in a bullpen role.
Hillman has already had that luxury once. Pena threw a scoreless ninth inning against Detroit during a 19-4 Royals loss on July 21, 2008.
Pena's flawless inning had more than a few fans dreaming about Pena coming out of the bullpen on a permanent basis. Pena retired three batters on 12 pitches, including a strikeout of Ivan Rodriguez.
"I saw touch and feel," Hillman said. "I saw a lack of fear. But obviously, the situation didn't promote a lot of fear."
Still, Hillman likes Pena's raw stuff.
"He's got the ability to throw from different arm angles," Hillman said. "He's got life to his fastball."
Pena also has the endorsement of a few members of the Royals' pitching staff.
Reliever Ron Mahay, who came up as a position player with Boston before converting to pitching, said he'd talked to Pena a few times about converting to pitching full time.
Starter Brian Bannister attempted a similar transformation while in college at USC.
"He's definitely got the ability," Bannister said. "He can sink the ball, he's got a breaking ball, he's got plus-velocity. I think he's definitely capable."
Bannister's conversion -- like Pena's -- was made more out of necessity than choice.
Pena started 152 games at shortstop for the Royals in 2007, batting .267 with a .284 on-base percentage. But he struggled in 2008, hitting just .169 in 235 at-bats. The next season, 2009, wasn't much better. He was hitting just .098 in 51 at-bats before being released.
So now Pena, who turned 28 in March, will attempt to resurrect his career on the hill.
But this doesn't have to be the end of his days at shortstop, Hillman says. It's too early to declare that.
"Tony is still young enough," Hillman said. "If the pitching doesn't go the way we think it has a possibility of going, or if the arm doesn't react as good for a possible setup role, he can always go back the other way."