하고 후회하는 게 안 하고 후회하는 것보다 낫다. or in the other order... 안 하고 후회하는 것보다 하고 후회하는 게 낫다.

I prefer, personally, "It's better to regret something you've done than something you haven't" although I couldn't say that the tense you used is incorrect.

I always hear people say: you always/only regret the things that you don't do. =)