This will depend on the device you're using. If you're using a pdf device, you can do this:
pdf( "mygraph.pdf", width = 11, height = 8 )
plot( x, y )
You can then divide up the space in the pdf using the mfrow parameter like this:
par( mfrow = c(2,2) )
That makes a pdf with four panels available for plotting. Unfortunately, some of the devices take different units than others. For example, I think that X11 uses pixels, while I'm certain that pdf uses inches. If you'd just like to create several devices and plot different things to them, you can use dev.new(), dev.list(), and dev.next().
Other devices that might be useful include:
There's a list of all of the devices here.