Converting jpg files to a pdf file is easy in Linux

1) first check if imagemagick is installed

$ rpm -qa |grep ImageMagick
if no hit,
Fedora:
# yum install -y ImageMagick
Ubuntu:
$ sudo apt-get install imagemagick

2) in the working directory

$ convert *jpg foo.pdf

That's all!

Below is added on 03/Jan/2013:

To center the pictures and leave some margin:

$ convert *jpg -page A4 -gravity center -resize 540x800 foo.pdf

Adjust 540x800 until you fell the result is good.