Conduit is a good idea, but check with your electric company as to the type
While running a proper service mast instead of using SEU (Type SE, Style U or Service Entrance - Unarmored, aka two insulated wires inside a spiral metal braid, with a jacket over the top) cable by itself to bring your service down from the weatherhead to the meter is a good idea, you'll want to check with your electric utility as to what type of conduit. Some utilities may require you to use Schedule 80 (instead of 40) PVC, or even metal conduit such as EMT or RMC/GRC; they may also require a minimum size for your service mast, although 2½" is generally safe for a 200A service. Note also that with EMT, you may have difficulty finding a suitable fitting to thread into the hub on top of the meter base; this isn't an issue with PVC (where a male adapter is fine) or RMC (which just threads right in), though.
Note that if you have USE (Underground Service Entrance, aka three insulated conductors cabled together without a jacket) cable instead, you may or may not be able to use it in conduit for the service drop wires. (It depends on if the USE cable is multi-rated RHH/RHW-2 as well, or only single-rated as USE aka URD.) Either way, you'll want to leave a "tail" of individual wires at the weatherhead for the utility to connect to; 18" is typical for this, but they'll be running the overhead conductors to your mast unless they put their meter on the pole, which is possible, but brings much more into the picture.