The conversion factor is added to the original given unit so that you can end up with the final unit. Basically, the conversion unit does not change the value because the factor is just equal to 1. You just manipulate the units by cancelling them.
Among the given choices, the fraction which is equal to 1 is 10⁻³ g/ 1 mg, because there are 1,000 mg per 1 g. In reverse, that would be 10⁻³ of a gram.