My original answer was:
Use [NSString stringByReplacingOccurrencesOfString:withString:] (reference).
NSString *string = @"\U0420\U043e\U0437\U044b";
NSString *converted = [string stringByReplacingOccurrencesOfString:@"\\"
withString:@"\\\\\\"];
However I now don't think that's right given the \ characters won't actually exist in string; instead the compiler will convert each of those sequences into a unicode character. You will need to encode string as this:
NSString *string = @"\\U0420\\U043e\\U0437\\U044b";
In order to use the above code. I cannot see any alternative to this.
Further Update: Often when I've come across questions like this there is a confusion between string literals and string data. In your question those \ characters won't appear as the compiler will have converted them into unicode characters (\Uxxx is a unicode escape sequence for a single character). However if you provided a string like that at runtime (say read from a text file) then those \ characters will exist and you can use the code above.