What's the best way to move a Visual Sourcesafe repository to Mercurial (I'm interested in retaining all history)?
While I haven't made that particular conversion, I have gone from VSS to SVN using (IIRC) this script. You'll probably want to look into tailor and do a search for vss2hg. Also keep in mind that it may make sense to go through an intermediate step like vss2svn + svn2hg or similar.
The primary bit of advice I'd give though is: script the conversion so you can re-run it easily. That will let you run nightly conversions from VSS to Hg and make sure that everything is converting correctly before you pull the trigger on it.