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I love using TeXShop for GUI editing of LaTeX and particularly Sweave documents, but it is a pain not being able to get it to automatically generate the pdf output. Luckily I found this post which explains how to add a Sweave engine.

Basically, make a file called Sweave.engine in ~/Library/TeXShop/Engines/

#!/bin/bash

export PATH=$PATH:/usr/texbin:/usr/local/bin R CMD Sweave "$1"
pdflatex -interaction batchmode "${1%.*}" pdflatex -interaction batchmode "${1%.*}"


The just select Sweave as the document type and Typeset now works, easy.