Using git, you tend to always stay in the same local directory when you do development, and simply do git checkout branchname to switch between branches (I use "lightweight" feature branches all the time, so this is a very important feature to me).
Looking at the Mercurial documentation and tutorials, it seems that the preferred way to deal with different branches of development is to create new repositories by cloning. This tutorial is an example.
I believe you can do the same thing in Mercurial as in git, but for some reason the Mercurial documentation (that I have read) almost always shows branching by creating a repository clone.
(I use git daily. I have little experience with mercurial, I have played with it and followed a few tutorials)