As the accepted solution of @Shane is not supported in RStudio (see here) as of now (Sep 2015), I would like to add an advice to @James Thompson answer regarding workflow:
If you use SumatraPDF as viewer you do not need to close the PDF file before making changes to it. Sumatra does not put a opened file in read-only and thus does not prevent it from being overwritten. Therefore, once you opened your PDF file with Sumatra, changes out of RStudio (or any other R IDE) are immediately displayed in Sumatra.