pgfSweave provides a number of improvements to the improve speed and quality of Sweave output including: (1) capabilities for 'caching' graphics generated with Sweave on top of the caching mechanisms provided by cacheSweave, (2) an interface to the tikzDevice package which provides graphics with consistent font style, sizing and quality as the main document and (3) Automatic highlighting of echo'd source code via the highlight package. pgfSweave provides a new driver for Sweave (pgfSweaveDriver) with new chunk options tikz, pgf, external, sanitize and highlight on top of the cache option provided by cacheSweave.
Please read the package vignette
inst/doc/pgfSweave.pdf for more information on installation and usage.
Also see http://code.cjb.net/pgfSweave.html for a great example.