First, create your crossword with JCross:

This file has been saved as jet_crossword.jcw.

Choose the topic (or, in my case, week) to which you want to add your crossword to, click on the Add an activity... drop-down menu, and choose Hot Potatoes Quiz.

In the General box, press the browse button and locate your Hot Potatoes file:

Scroll down to the bottom of the page and press the Save and display button.

Here's how my crossword looks now that it has been converted to Moodle: