Install Pandoc: http://pandoc.org/

library(knitr)
 
knit('report.Rmd') #This creates 'report.md'

 

Open the Terminal, Command Prompt (search for cmd) or Windows Powershell, go to the folder and do:

pandoc -s report.md -o report.tex

And that’s it!

(Read this, if you want vector images.)