R graphs in LaTeX documents?

I have tried to find a neat way to include graphs from R in LaTeX documents,
but have not succeeded (I work with a WinEdt/MikTeX combination). The two
roads I have stumbled along so far are the following:

*Generate postscript files and convert them into EPS files by means of
GhostScript or other not so straightforward tools.

*Generate pictex files and include these.

None of these solutions have worked so far. I haven't spent so much time
trying to find out what goes wrong, but since there might both LaTeX gurus
and R wizards among you, I simply thought it would be better to lean on that
expertize first. Any suggestions about how to achieve what really should be
a simple task?

--robert
****************
Robert Lundqvist
Dept of Quality Technology & Statistics
Lulea University of Technology
Sweden
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