(This tutorial is based on Linux Ubuntu 10.10)
Before we can convert JPEG (or any supported files format) to PDF, we have to install Image Magick software package. Ubuntu have several ways to install sofware packages, ie, using Ubuntu Software Center, or apt-get at Terminal.
If your system yet did not have Image Magick, please install it first. I prefer to use command-line apt-get. Here is how to install it via apt-get.
$ sudo apt-get install imagemagick
After finish the installation, use convert command to convert image files to PDF.
$ convert name-of-jpg-file.jpg name-of-new-pdf-file.pdf
convert command have compress option if our PDF output is to large.
$ convert -compress jpeg name-of-jpg-file.jpg name-of-new-pdf-file.pdf
convert command has many other options other than compress, but we do not need the other options to change the JPEG format to PDF.