Create a loop that includes both a code chunk and text

You can embed the markdown inside the loop using cat().

Note: you will need to set results="asis" for the text to be rendered as markdown.
Note well: you will need two spaces in front of the \n new line character to get knitr to properly render the markdown in the presence of a plot out.

# Monthly Air Quality Graphs
```{r pressure,fig.width=6,echo=FALSE,message=FALSE,results="asis"}

attach(airquality)
for(i in unique(Month)) {
  cat("  \n###",  month.name[i], "Air Quaility  \n")
  #print(plot(airquality[airquality$Month == i,]))
  plot(airquality[airquality$Month == i,])
  cat("  \n")
}
```

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