Personally I just get the data into a CSV file from my old work item system and then use Excel to get it imported into TFS. TFS comes with an excellent (no pun intended) Excel integration that is good for bulk actions on TFS work items. When you are importing, probably easiest to include the orginial systems bug id in the new work item title to make it easier to cross reference to begin with.
Check out this Codeplex project.
Migration Sync Toolkit
It supports Bugzilla
You could use the Migration and Sync Toolkit from the TFS team and hosted on Codeplex.
Personally I just get the data into a CSV file from my old work item system and then use Excel to get it imported into TFS. TFS comes with an excellent (no pun intended) Excel integration that is good for bulk actions on TFS work items. When you are importing, probably easiest to include the orginial systems bug id in the new work item title to make it easier to cross reference to begin with.