Mathematica can do this itself:
The mathematica frontend will automatically perform the necessary doubling of the backslashes so long as you are pasting into a string (ie, put the cursor between quotes
"" before pasting)
You didn't ask, but you can also go the other way mathematica->Tex:
You can also use a mixture of TeX and mathematica in a file
document.mtex and use the mathematica
Splice["document.mtex"] command to replace
*> delimited mathematica input by TeXForm mathematica output. Eg:
The derivative of $x^x$ is $<*D[x^x,x]*>$.
The derivative of $x^x$ is $x^x (\log (x)+1)$.