Try:
set myString to "This\\is\\my\\string" -- really This\is\my\string
set {TID, text item delimiters} to {text item delimiters, "\\"}
set myString to text items of myString
set text item delimiters to "/"
set myString to myString as text
set text item delimiters to TID
return myString
or
set input to "This\\is\\my\\string" -- really This\is\my\string
set output to do shell script "echo " & quoted form of input & " | sed 's/[\\]/\\//g'"