For migration from ISA server 2006 to TMG 2010 one very usefull document is http://technet.microsoft.com/en-us/library/dd440994.aspx
Still we have to make sure we are doing couple of things right e.g. when we install TMG 2010 following the wizards we might end up creating a web access policy rule. This is because wizards let admin to create a web access rule to allow web access through TMG just after the TMG installation.
After creating that rule if we then try to do server level import of the ISA configuration which we exported earlier from our ISA server 2006. This import would fail.
So if we have planned to migrate from ISA server 2006 to TMG 2010. Then we should not create the web access rule just after the installaton using the intitial configuration wizard. We need to make sure that TMG is without any rules and is plain vanilla, before Importing the ISA server configuration on it.