There is now an excellent tutorial on using Quandl via R at DataCamp.com. Datacamp offers really well designed (and free) in-browser tutorials for learning more effective data analysis. Their focus thus far has been on R.
The free interactive Quandl course introduces you to the main functionality in the Quandl R package. In two short chapters you’ll learn how to search through Quandl’s data sets, how to access them, and how you can easily manipulate them for your own purposes. All exercises are based on real-life examples (e.g. Bitcoin exchange rates).
Datacamp is quite impressive; definitely worth a visit!