I work in R and delivers a PDF file with Sweave, sweave(.rnw document). I need to insert a JPEG image into the text. I did not find any features on the Internet and had no idea how I could do this.
sweave(.rnw document)
You include it the same way you include an image in any other LaTeX document:
http://amath.colorado.edu/documentation/LaTeX/reference/figures.html#pdf
\includegraphics{myimage.jpg}
Put it in the LaTeX block, not the R code code. As you can see from the link, you need to compile with pdflatex.
pdflatex