What we don't have, and we'd like to have, would be a way to quickly just give you a giant dump of all your Kiln On Demand data you could load up into your local copy. While we can do that for FogBugz, we can't really do it for Kiln yet. The good news is that, because every Mercurial repository has the full history of how it came to be, this isn't a big problem. In fact, you can trivially move absolutely everything, with full history, except your existing Kiln On Demand code reviews.
To move your repositories manually:
First, I'd recommend grabbing the Kiln backup script. You can also write your own, if that one doesn't suit your needs. This will let you quickly grab all the repositories in your Kiln On Demand account.
Next, make the equivalent groups and repositories in your local Kiln install. Unfortunately, the pre-alpha Kiln API that shipped with Kiln 1.2 does not allow the creation of remote repositories, so you'll have to do this step manually, even if you like scripting. Rest assured we're working on that for Kiln 2.0.
Then, either push the repositories into their new home on your local Kiln via either TortoiseHg or
hg push <target URL>; or, if you like scripting, write one last script that modifies the URL in each repository's
.hg/hgrc file to point to your local Kiln install, and then you can simply
hg push all repositories you cloned, and they should go to the right place.
Let me know if any of that isn't clear. There are a few steps, but they're pretty straight-forward. We'll work on improving this process in the future.