DEM data often arrive in the form of GeoTIFF that must be converted to GRID for further work in ArcGIS.
1. Acquire SRTM data as GeoTIFF and open in Arcmap. Right-click and Export... Export to GRID format. If you have a lot of grids you can automate this step, see below.
2. Reformat with the following command in Spatial Analyst under Raster Calculator:
setnull ( [GRIDNAME] < 0 , [GRIDNAME] )
That command sets all topographic values less than 0 (sea level) and the no-data collar area to <NULL>.
If your study area is on the edge of various tiles you can merge them into a single large GRID by using the following method:
mosaic ( [GRID1] , [GRID2], [GRID3] )
with as many grids as you need.
There are scripts for batch processing in
Toolbox > Samples > Conversion > Raster > Workspace to Geodatabase.
that will convert an entire folder (i.e., workspace) of GeoTIFF files to a Geodatabase format but you must first create the Geodatabase in ArcCatalog.
For instructions about how to convert imagery in HDF format to GeoTIFF see this article.