Git has gained lately lots of support, and it's not a bad idea to migrate all your source controls under same system. In the past I often used hg because it had some nice features and better Windows support, but this does not matter anymore these days.

So after looking for a solution for a while, I found a way to do it by using hg-fast-export.

$ git clone git://repo.or.cz/fast-export.git
$ mkdir new_git_repo
$ cd new_git_repo
$ git init
$ /path/to/hg-fast-export.sh -r /path/to/hg_repo
$ git checkout HEAD

(taken from here)

And that's it. Your hg repo is also left, and all the commit history is replicated in the git repo also.