Two questions really..
Does anyone know of a cheap solution for converting a CVS repository to TFS?
I think we may have to convert to SVN then convert to TFS. Has anyone had experience doing so?
Please, no comments on why we are using TFS.
The TFS Integration Platform on Codeplex is written to support integration into and out of TFS. Though it is primarily written for a TFS to TFS scenario, the code is available for you to tweak as necessary.
A few years ago, we used the original version of this (called the TFS to TFS Migration Tool) to facilitate our migration from Borland StarTeam to TFS. It worked really well.
The key thing you're going to need to decide is whether or not you want to bring over history. That's where things can get a bit more difficult, as you will need to rebuild the history from the beginning of the CVS repository. This means reading the first revision of all the files, checking them into TFS with appropriate comments, then getting the second changeset, checking in those files, ad infinitum.