Converting grams to kilograms not so much, but mm to m, mL to L, even g to mL and L to kg (of water) — all the time, and of course in our heads — it's so easy you barely need to think about it.
I don't even consider those to be "conversions" at all; in the same way that "two dozen metres" and "twenty four metres" and are both just some number of metres (not a conversion from a separate "dozen-metre" unit).
Technically, the SI standard does consider millimetres, centimentres, kilometres, etc. to be separate ("derived") units from the base unit of "metre". That matters when we have multiple interacting multiples, e.g. "one cubic centimetre" is not the same as "one centi cubic metre"; but of course, that's avoided if we stick to base units like cubic metre. (see http://www.chriswarbo.net/projects/units/improving_our_units... )
Technically, the SI standard does consider millimetres, centimentres, kilometres, etc. to be separate ("derived") units from the base unit of "metre". That matters when we have multiple interacting multiples, e.g. "one cubic centimetre" is not the same as "one centi cubic metre"; but of course, that's avoided if we stick to base units like cubic metre. (see http://www.chriswarbo.net/projects/units/improving_our_units... )