The knitr support in RStudio was added since 0.96. You can download the latest version and enjoy the one-click PDF compilation in RStudio through knitr.
You are free to choose different engines to knit or weave the document, such as
knitr, and you can also use different LaTeX backends such as
Remember you do not have to use LaTeX; I encourage you to try R Markdown there, which is way easier than LaTeX.