This works just fine with built-in cvsps.py.
Built-in cvsps is still not in the crew, see the mailing list for patches:
http://marc.info/?l=mercurial-devel&m=120906303303042&w=2

$ hg convert project 
assuming destination project-hg
initializing destination project-hg repository
using builtin cvsps
collecting CVS rlog
7 log entries
creating changesets
5 changeset entries
connecting to /tmp/cvsroot
scanning source...
sorting...
converting...
4 Initial revision
3 init
2 mod a
1 mod b
0 mod a again
updating tags

$ hg log
changeset:   5:bba117f928f8
tag:         tip
parent:      0:4208ca31a51b
user:        convert-repo
date:        Fri May 30 07:41:14 2008 +0000
summary:     update tags

changeset:   4:6ac90091bc49
branch:      BRANCH
user:        fk
date:        Fri May 30 08:41:00 2008 +0100
summary:     mod a again

changeset:   3:67c3ac00bb44
branch:      BRANCH
user:        fk
date:        Fri May 30 08:40:53 2008 +0100
summary:     mod b

changeset:   2:ad871da884dc
branch:      BRANCH
user:        fk
date:        Fri May 30 08:40:47 2008 +0100
summary:     mod a

changeset:   1:d50eef4f5bec
branch:      v0
tag:         r0
user:        fk
date:        Fri May 30 08:40:16 2008 +0100
summary:     init

changeset:   0:4208ca31a51b
user:        fk
date:        Fri May 30 08:40:16 2008 +0100
summary:     Initial revision