That's never explicitly shown, but it would've happened sometime after "SSS#1: Battle Royal" (which takes place between #46 and #47) when the group was defeated by the Chaotix & the Freedom Fighters and during "SSS#2: Brave New World" (which takes place between #52 and #53) when the Gulag prisoners were first shown inside it. --True Red
Though I haven't read all of the comics, I did look through the scans, archives, and encyclopedia and still can quite figure out what issue I should be hunting for to see how the Fearsome Foursome got from being Mogul's cronies in the M.M. Special (between #39 and #40) to landing in the Devil's Gulag. Please help me out here!