1. Open xfig!
2. Draw your figure.
3. Click on the big T to allow you to enter text on the figure.
4. At the bottom of the window is a box that says “Text Flags hidden=off”. Click that and change “Special Flag” from Normal to Special. Click Set.
5. Enter your LaTeX command in dollar signs, e.g., $\int f(x) dx$.
6. Save your file.
7. Click the file menu and choose Export.
8. From the Export dialogue box choose “Combined PS/LaTeX (both parts)”, and click Export.
9. You should now have 3 files: (a) myfile.fig (b) myfile.pstex © myfile.pstex_t

    (a) The .fig file is your original xfig file.
    (b) The .pstex is the figure as an encapsulated postscript (I think its .eps).
    (c) The .pstex_t file is the one which you include in your LaTeX file. 

Note: The following page may also be of some use:

• Using xfig and jfig with LaTeX