Taking the title, "How do *you* convert ..." literally [emphasis added], the Mac program TeXShop does this for me. 

In a unix environment, I have used dvips followed by ps2pdf and experienced some problems but these were long ago. Someone once told me how to embed LaTeX code into xfig files, but I never used it. If you place figures in the tex via a picture environment, then you just have to continue to adjust stuff, or print on graph paper and use coordinates. 

If you are lazy with xfig and have to label stuff, then always place your labels at magnification 1. Otherwise character placement will be wrong. I found that a 24 point font for characters with an 18 point font for subscripts works about the best in terms of scales. Even so, I have noticed that in published versions of stuff we have written the fonts in figures are too small for my tastes. 

Then  again, I think that figures are meant to communicate an idea instantly, and often a plethora of notation within a figure can be a distraction on first reading.