[R] R Graphics: Saving PDF and other formats from Windows Graphic Device for LaTeX

[Anupam Tyagi]

Hello, I can't seem to save (or find the default location) when I use the Window
Graphic Device's pull down menu. It does not seem to save to the directory I
have set using "setwd(...)". How do I make the pull down menu's work?

What is the best format to save R graphics for inclusion into a LaTeX documents?
I will use PdfTex, or LaTeX -> PS -> PsToPdf to generate the final PDF file.
Which is  likely to give the best graphics quality in the final PDF document?
The final graphs will be about 3x3 inch (fit in a column in two-column format).
I will be grateful if someone can share their experience.

Anupam.