Unfortunately the win.metafile() device does not support semi-transparent 
colours, which I like using.

In my experience, the best way to get R graphics into Word is to use compressed 
high-resolution tiff, like this:

word.tif = function(filename="Word_Figure_%03d.tif", zoom=4, width=17, 
height=10, pointsize=10, ...) {
  if (!grepl("[.]ti[f]+$", filename, ignore.case=TRUE))
      filename = paste0(filename,".tif")
  tiff(filename=filename, compression="lzw", res=96*zoom, 
       width=width, height=height, units='cm', pointsize=pointsize, ...)
}
word.tif('test')
plot(rnorm(100))
dev.off()

Now drag the file test.tif into your Word document.

Sure, it's a bitmap format rather than a vector format, but the quality is 
excellent and the file sizes are still quite small.  None of the vector formats 
works as well as this.

cheers,
    Steve

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