There are plugins available on the web if you are interested. But looking at info below you might want to consider that since it is not widely used you may have trouble sharing picutres with others in this format.
This from wikapedia
While there is a modest increase in compression performance of JPEG 2000 compared to JPEG, the main advantage offered by JPEG 2000 is the significant flexibility of the codestream. The codestream obtained after compression of an image with JPEG 2000 is scalable in nature, meaning that it can be decoded in a number of ways; for instance, by truncating the codestream at any point, one may obtain a representation of the image at a lower resolution, or signal-to-noise ratio – see scalable compression. By ordering the codestream in various ways, applications can achieve significant performance increases. However, as a consequence of this flexibility, JPEG 2000 requires encoders/decoders that are complex and computationally demanding. Another difference, in comparison with JPEG, is in terms of visual artifacts: JPEG 2000 produces ringing artifacts, manifested as blur and rings near edges in the image, while JPEG produces ringing artifacts and 'blocking' artifacts, due to its 8×8 blocks.
OT: but I love Wikipedia. It has such good explanations regarding things like image formats. I used these Sample Images in a Camera Club talk some years ago, and I think they are as good a practicle example of how JPG compression works as I have ever seen.
Thanks for all the great info guys, I got quite an education. I don't see a whole lot of the newer pocket cameras suporting this, as I would have thought -- by now (12 years); so I am wondering how successful it will become?
I will try to find a pocket camera that supports this, because this seems the only the real solution to save a good photograph, from over/under lighting of a critical element of an outdoor photo. Unless, some smart Camera Company includes the feature I have on my Canon 20D -- which allows shooting in a combo mode of: jpg WITH raw, at the same time -- ARE THERE ANY MANUFACTURES LISTENING OUT THERE?
Thanks for your insight;