knitr
(>= v1.5) supports subfigures. You can use the chunk option fig.subcap
. Here is a minimal example.
\documentclass{article}
\usepackage{subfig}
\begin{document}
<<fig-sub, fig.cap='two plots', fig.subcap=c('one plot', 'the other one'), out.width=".49\\linewidth">>=
plot(1:10)
plot(rnorm(10), pch=19)
@
\end{document}