1. Export to PNG from File->Export (you could do it for all slides trough Export->Html, but somehow the quality appears worst)
2. Make sure you name you pngs correctly: Pic001.png, Pic002.png
3. convert Pic0*.png -quality 100 document.pdf
Now, convert has some pretty cool options, make sure to check the man pages if you want to do something more fancy.
Another cool thing I discovered is how to convert png to eps!
sam2p pic1.png EPS:pic1.eps (source)
It works awesomely and makes even 3d plots look good. Of course, you could use also convert:
convert fig.png eps3:fig.eps(source)