There are a lot of different ways to make an R graph for TeX; this is my workflow.

In R

I use cairo_pdf to write a graph to disk. This command takes arguments for image size and for font size and face. If you’re on a Mac, you will need to install X11.

Image size

I always specify graph size by hand, in inches. For manuscripts and handouts, I usually set the width to be the printable width. If you’re using 1″ margins, that’s 6.5″. Then, I adjust height until a pleasing form emerges.

Fonts

I match the font face of the manuscript (whatever I’m using) and graph labels by passing the font name as the argument to family. This matters most if you’re writing a handout, and matters less if you’re sending it to, say, Oxford University Press, who will redo your text anyways. I found out the hard way that the family keyword argument is absent in older versions of R, so you may need to upgrade. By default, image font are 12pt. This is generally fine, but can be adjusted with the pointsize argument.

Graphing

This is a no-brainer: use ggplot2.

All together now

cairo_pdf('mygraph.pdf', width=6.5, height=4, family='Times New Roman')
qplot(X, Y, data=dat)
dev.off()

In TeX

Add usepackage{graphicx} to your preamble, if it’s not already there. In the body, includegraphics{mygraph.pdf}.