The R package tikzDevice produces tikz figures out of plot-commands in R. The resulting figures nicely fit into LaTeX documents; moreover, the full range of LaTeX commands is available for labeling figures.
In general, it is reasonable to produce stand-alone figures with tikzDevice, i.e. LaTeX documents that can directly be processed by pdflatex to create PDF figures. This is achieved by providing the argument standAlone = TRUE to the R function tikz. Not using stand-alone figures often results in rather long LaTeX files to be included in the main document, which can exceed the capacity of LaTeX.
While it is normally fine to have figures saved as PDF, it is sometimes necessary to convert them into EPS format, in particular because some (too many!) publishers require that. Simply converting the produced PDF figure by
pdftops -eps figure.pdf
however leads to uggly rasterized EPS files. The reason for this is that EPS files do not support transparency — but tikzDevice does. However, transparancy is normally not really needed in the figures, and tikzDevice just explicitely specifies the opacity to be 0. In order to produce vectorized EPS files, it is therefore necessary to remove the opacity commands in advance:
sed -i 's/,fill opacity=0.00//g' figure.tex
sed -i 's/,draw opacity=0.00//g' figure.tex
After this, the PDF can be rendered by pdflatex — and the created PDF can be converted into EPS:
pdflatex figure.tex
pdftoeps -eps figure.pdf