In this tutorial Episode Using Olympus I talk about the advantages of raw and jpg. and how to set them in your Olympus.
In E-M5 it can be found in Custom Menu G
In Pen E-PL8, Pen-F, E-M10, E-M10 MkII, E-M5 MkII, E-M1, E-M1 MkII the Image format and jpg quality can found in the Shooting Menu 1
Pen E-PL9 and E-M10 MkII the jpog quality can be found in the Custom Menu F. The choice between raw or jpg can done in the Live Control. To access the Live Control press OK-button.
If you havent seen the previous episodes I recomend you to watch them. The whole Using Olympus playlist can be found here: https://goo.gl/9cPqo1
If you have any questions please ask them in the comments!