Easy answer: Don't do it. Use a vector graphics program like Inkscape and export to a format that (pdf)LaTeX knows (e.g. pdf or to TikZ code).
Hard answer: You can use one of the general purpose drawing libraries for TeX. The following is an example with TikZ.
\documentclass{article}
\usepackage{tikz}
\usetikzlibrary{calc}
\begin{document}
\tikzstyle{hackennode}=[draw,circle,inner sep=0,minimum size=4pt]
\tikzstyle{hackenline}=[line width=3pt]
\begin{tikzpicture}
\node[hackennode] (leftleg-1) at (0,0) {};
\node[hackennode] (leftleg-2) at (1.5,0.75) {};
\node[hackennode] (leftleg-3) at (1.13,3.0) {};
\node[hackennode] (leftleg-4) at (2.65,5.3) {};
\node[hackennode] (rightleg-1) at (3,0) {};
\node[hackennode] (rightleg-2) at (4.15,0.72) {};
\node[hackennode] (rightleg-3) at (3.04,2.65) {};
\node[hackennode] (rightleg-4) at (3.8,4.9) {};
\node[hackennode] (dress-1) at (4.55,8.3) {};
\node[hackennode] (dress-2) at (4.91,4.52) {};
\node[hackennode] (dress-3) at (1.6,5.66) {};
\node[hackennode] (neck) at (5.3,10.6) {};
\node[hackennode] (leftarm-1) at (2.25,9.85) {};
\node[hackennode] (leftarm-2) at (1.53,10.96) {};
\node[hackennode] (rightarm-1) at (7.56,9.07) {};
\node[hackennode] (rightarm-2) at (7.2,7.55) {};
\node[hackennode] (hair-1) at (5.7,12.1) {};
\node[hackennode] (hair-2) at (8.75,9.85) {};
\draw[hackenline,blue]
(leftleg-1) -- (leftleg-2) -- (leftleg-3) -- (leftleg-4) -- (rightleg-4)
(dress-2) -- (dress-1) -- (dress-3)
(neck) -- (leftarm-1) -- (leftarm-2)
(rightarm-1) -- (rightarm-2);
\draw[hackenline,red]
(rightleg-1) -- (rightleg-2) -- (rightleg-3) -- (rightleg-4) -- (dress-2)
(leftleg-4) -- (dress-3)
(dress-1) -- (neck) -- (rightarm-1);
\draw[hackenline,red,looseness=1.6]
(leftarm-2) to[out=45,in=45] ($(leftarm-2)+(-0.76,0.76)$) to[out=225,in=225] (leftarm-2);
\draw[hackenline,red]
(neck) to[out=135,in=170,looseness=1.3] (hair-1)
(hair-1) .. controls (7.9,14.5) and (6.5,8) .. (hair-2);
\draw[hackenline,blue]
(neck) to[out=0,in=-10,looseness=1.3] (hair-1);
\end{tikzpicture}
\end{document}
This might seem like a lot of code, but it isn't so bad. The trickiest thing is to find the right coordinates (which I did by including the original picture and placing a grid on top of it).
Some explanation:
\tikzstyle defines some styling options we are going to use later on. You only need to include this once in your document.
\tikzstyle{hackennode}=[draw,circle,inner sep=0,minimum size=4pt]
This defines how the vertices (“node” in TikZ-speak) are drawn. Change the minimum size to make them larger or smaller.
\tikzstyle{hackenline}=[line width=3pt]
The same, but for the lines. The line width key changes line thickness.
\begin{tikzpicture} starts the actual diagram. You can change that to something like \begin{tikzpicture}[scale=0.5] to make the picture smaller/larger. Beware that line thickness and node size are not scaled.
The syntax to place nodes is
\node (〈nodename〉) at 〈position〉 {〈contents〉};
The 〈nodename〉 is used to refer to that node later on. 〈position〉 may be a pair of coordinates (if no unit is given, the default is cm). Finally, we don't want any text in our nodes, so we leave 〈contents〉 blank (note that the braces have to be there even if we don't want anything in the node). Additionally we pass the hackennode option, which applies the style we defined earlier.
The syntax to draw straight lines is
\draw 〈postition 1〉 -- 〈position 2〉;
It is possible to chain several lines together. In addition to hackenline, we also pass a color option. Instead we could have defined
\tikzstyle{hackenline}=[line width=3pt]
\tikzstyle{hackenline1}=[hackenline,blue]
\tikzstyle{hackenline2}=[hackenline,red]
and passed the hackenline1 and hackenline2 options (this is probably the better solution as it allows to easily change the color—but I didn't think of this when I wrote the code and don't want to rewrite it).
Finally, the hardest part is to get good curved lines. We use a combination of the to[out=〈leaving angle〉,in=〈arriving angle〉] syntax and Bézier curves (see the TikZ manual for explanations).

PS: If anyone has a good idea how to draw that circle in her hand (except fudging the position of a \draw circle and then overpainting with a filled node), please tell me.