The tikzDevice package is quite amazing. Here are two graphs I just made, with (lower) and without (upper) using the tikzDevice package. The difference in quality is huge.
Since the LaTeX source file for the figure is quite large in size and may take significantly longer to compile, it makes sense to export the file into PDF file and include in the main LaTeX file in the usual way. That way, one gets the pleasing effect produced by TikZ and does not suffer from longer compilation time.
Also, the package “pgfSweave” is also very helpful if one wants to combine R sessions with LaTeX session.
Here is a tikz editor that works great on my 32-bit Ubuntu box but cannot be compiled on my 64-bit box. It can produce PDF, EPS, and PNG files directly from LaTeX code. TpX is another editor for tikz. It is currently Windows-only but a alpha version based on Lazarus is under development.
Some additional information is provided by this post.