It looks like there is no built-in support in TortoiseHg for this. Try this from a command prompt:
hg import my-patch-file.patch
That should apply the patch to your Mercurial repo and working copy.
First Stab Answer
You should be able to right-click on the patch file and choose "Apply patch..." - that's how it works for other TortoiseX clients. Make sure that you save the patch file to the same directory path it was generated from.
What may be also noteworthy is, that "Repository Explorer, Synchronize > Import..." (which internally does a "hg import") will automatically do a "commit" - this may not be always wanted behaviour.
Other possibility is to use unix "patch" command (on Windows perhaps use cygwin version) or use "hg import" directly with "--no-commit" option. Both will just make changes in working directory and you may review the changes and commit them later manually.