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).

I use LyX (GUI front-end for LaTeX) under linux. For me I just save from R
a postscript file, then in Lyx click "Insert Figure" and stick it in. So
It's pretty automatic for me and have never had problems over 4 years of
use.

LyX (www.lyx.org) runs under windows.

Bill

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