To expand the answer a bit:
REGISTER postgresql-9.2-1002.jdbc4.jar;
REGISTER piggybank.jar;
STORE relation INTO 'my_table' USING org.apache.pig.piggybank.storage.DBStorage(
'org.postgresql.Driver', 'jdbc:postgresql://host:port/db', 'user', 'password',
'INSERT INTO my_table VALUES (?,?,?,?,?,?)');
Please note that the SQL table should exist prior to the load. This was verified to work with PostgreSQL 9.3