One "nice" way to plot data in order to keep consistency in the font labels, any mathematical notations, legends, figure sizes, and so on, not to mention obtaining high quality vector graphs, is to use
The idea is to export the data is some sort of table. The easiest is probably to use a
CSV file, were the data is sorted in columns (on per variable). Then use
pgfplots to read the table in a
standalone file and compile it using
pdflatex. In this way, you would generate a
pdf file per figure that you can include in the main
tex file as a simple image (which is what you are doing so far).
Here is an example question on how to proceed: plotting csv data with pgfplots
And here is the user manual of
pgfplots: pgfplots webpage
As you'll see, there are many options to customize the figure (axes, labels, legends, colors, etc.). My advise would be to try to keep the figures format consistent throughout the thesis, which may sometimes prove to be a hard thing to do !