(0) Open xfig!
(1) Draw your figure.
(2) Click on the big T to allow you to enter text on the figure.
(3) 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.
(4) Enter your LaTeX command in dollar signs, e.g., $\int f(x) dx$.
(5) Save your file.
(6) Click the file menu and choose Export.
(7) From the Export dialogue box choose "Combined PS/LaTeX (both parts)", and click Export.
(8) You should now have 3 files: (a) myfile.fig (b) myfile.pstex (c) 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.
For example,
%--cut here--%
\documentclass{article}
\usepackage{graphicx}
\usepackage{color}
\begin{document}
\input{myfile.pstex_t}
\end{document}
%--cut here--%
(9) IMPORTANT! For some reason this generates a file requiring a color package. If you don't want to use it, manually remove lines of the form "\color[rgb]{0,0,0}" in the .pstex_t file.
myfile.fig
myfile.pstex
myfile.pstex_t
myfile.tex
myfile.ps
Note: The following page may also be of some use: