You can just use the PDF saved from AI (but FM then does convert this internally to EPS on import). Alternatively, AI can (re)import EPS, but if you are using any features like transparency, then it's best to keep it as a PDF so it gets flattened at the latest stage.
The native AI format contains a lot of additional info in a PDF-like structure, which is why FM often seems to import .ai files just fine. However, as Dov indicates, these are not quite the same and Murphy's Law dictates that it will bite when you least expect it.