http://yihui.name/cn/2010/02/misc-issues-in-latex-lyx-r-sweave-pgfsweave/
找到好苦啊!!
\documentclass[twoside,UTF8]{ctexart}
\usepackage[T1]{fontenc}
\usepackage{CJKutf8}
\usepackage[letterpaper]{geometry}
\usepackage{esint}
\makeatletter
\usepackage{Sweave}
\makeatother
\begin{document}
\begin{CJK}{UTF8}{}%
\title{你好,中文}
\author{我是作者}
\maketitle
\setkeys{Gin}{width=.8\linewidth}
<<setup>>=
pdf.options(family='GB1')
@
我是正文。
\begin{figure}
\begin{center}
<<rnorm,fig=TRUE>>=
rnorm(10)
plot(rnorm(25), pch=1:25, main='中文字符',
xlab='$\\alpha + \\beta$', ylab='$\\gamma$')
@
\end{center}
\caption{一幅pgfSweave图}
\end{figure}
\end{CJK}
\end{document}