I fully support this. It would be rather easy to do too. After a repo is created on GitHub (replace repo url if necessary):
$ git clone http://git.zorchenhimer.com/paintball2/paintball2.git
$ git remote add github git@github.com:jitspoe/paintball2.git
$ git push github master
Or, if you want to generate the history from CVS yourself (The cvsimport will take a while. Grab a coffee.):
$ git cvsimport -d :pserver:anonymous@paintball2.cvs.sourceforge.net:/cvsroot/paintball2/ -C paintball2 paintball2
$ cd paintball2
$ git remote add github git@github.com:jitspoe/paintball2.git
$ git push github master
This can be done on Windows or Linux. On windows, open up a Git Bash session (there's a menu icon for it in GitExtensions) and type/copy-paste the commands there. It's also possible to do it through the gui (sans cvsimport, iirc), but it's just easier to explain this way.