As our GitlabHQ setup at SRMvision is mean to stay, we wanted to migrate from the standard SQLite database to an easier to manage for us : mySQL.
The steps are quite straighforward, first, setup mySQL :

create database gitlab; 
grant all privileges on gitlab.* to "gitlab" identified by "gitlab"; 
flush privileges;

Then prepare to dump the data out of GitlabHQ, stop your webserver, then, from your GitlabHQ folder :

bundle exec rake db:data:dump RAILS_ENV=production

this will create a db/data.yml file. All you have to do now is reconfigure GitlabHQ to connect to mySQL and reimport the data. The database configuration takes place in the config/database.yml file, backup your existing file and rename the database.yml.example :

mv config/database.yml config/database.yml.old
cp config/database.yml.example config/database.yml

Then edit the file to reflect your new configuration, only the production section is relevant in our case :

development:
  adapter: mysql2
  encoding: utf8
  reconnect: false
  database: gitlabhq_development
  pool: 5
  username: root
  password: "secure password"
  # socket: /tmp/mysql.sock

# Warning: The database defined as "test" will be erased and
# re-generated from your development database when you run "rake".
# Do not set this db to the same as development or production.
test:
  adapter: mysql2
  encoding: utf8
  reconnect: false
  database: gitlabhq_test
  pool: 5
  username: root
  password: "secure password"
  # socket: /tmp/mysql.sock

production:
  adapter: mysql2
  encoding: utf8
  reconnect: true # allows to autoreconnect if the mysql service restarts
  database: gitlab # to replace with your database name
  pool: 5
  username: gitlab # to replace with your credentials
  password: "gitlab" # to replace with your credentials
  socket: /var/run/mysqld/mysqld.sock # mysql socket location on debian

Once this is done, you have to create the schema and restore your data :

bundle exec rake db:setup RAILS_ENV=production
bundle exec rake db:data:load RAILS_ENV=production

Job’s done, you just need to restart the GitlabHQ server now (nginx, apache…). If you encounter a problem and this does not work as expected, you just have to restore the database.yml.old file to go back to SQLite.