Linux provides a nice tool called ImageMagick. This tool makes converting images to pdfs very easy.
> convert rofl.jpg rofl.pdf
It can also convert recursively, eg: whole directory trees.
> convert *jpg foo.jpg
Using a program such as CuteFTP or PrimoPDF will allow you to create a PDF of any file that you can print, including images. You can download either of these programs at the following links.
PrimoPDF: http://www.primopdf.com
CutePDF page: http://www.cutepdf.com
After downloading and installing one of these, open the image in any image editor or viewer and print the file. When the print window opens, instead of selecting a printer, select either CuteFTP or PrimoPDF as your printer and click Ok. This will send that image to a .pdf file instead of your printer.