Writing my thesis with Sweave and knitr was very nice at the beginning, but then I began running into problems when I wanted to combine different chapters into one single document. Most of the problems were related to having each chapter be compilable on its own with separate bibliographies, among other things. I wrote a detailed guide on how I did it and you can read it here. I’d love some feedback as workflow is still very rudimentary. You can post a comment on this post or email me at cimentadaj@gmail.com.
Hope it’s useful.