I use the following Sweave template to get R output into LaTeX.
\documentclass[a4paper]{article}
\SweaveOpts{pdf=TRUE, png=FALSE, eps=FALSE, echo=FALSE, prefix=FALSE, width=6, height=6, res=300}
\title{Title}
\author{Author}
\begin{document}
\maketitle
<<>>=
data(airquality)
\begin{center}
<<label=FigureLabel, fig=TRUE, include=FALSE>>=
boxplot(Ozone ~ Month, data = airquality)
@
\begin{figure}[h]
\centering
\includegraphics[width=17cm, height=17cm]{FigureLabel}
\caption{Caption}
\label{fig:figLabel}
\end{figure}
\end{document}
This Sweave template produces R graphs in PDF format. With png=TRUE in SweaveOpts I can also get R graphs in PNG format.
Now I'm inclined to use TikZDevice and pgfSweave. As I know TikZDevice and pgfSweave produce TeX documents only not PDF. I wonder if there is a way to get figures in PDF and PNG format using SweaveOpts in some way. Thanks in advance for your help.