>
>
> #+caption: My caption
> #+label: fig:MyFigure
> #+begin_src R :exports results :results output graphics :file MyFigure.pdf
> :width 4.8 :height 6.5 :pointsize 7
> plot(1:5,1:5)
>  #+end_src
>
>
The figure is produced and integrated in the text but
>

#+CAPTION: line should be added to the output and not to the code block. As
follows.

#+CAPTION: My caption.
[[file:MyFigure.pdf]]

That is, you evaluate the code block, and once the output is created, add
caption to it.

Vikas