Mathematica can do this itself: ToExpression["\\frac{a}{b}", TeXForm].
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: TeXForm[a/b] gives \frac{a}{b}.
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 $<*D[x^x,x]*>$.
Splices to:
The derivative of $x^x$ is $x^x (\log (x)+1)$.