A tutorial on using knitr in Eclipse by courtesy of Jenny Hutchison is available for download. It is probably too long for an experienced Eclipse user, and as a person who does not use Eclipse, I believe one screenshot can explain the setup:
You do not have to follow this. For example, you can run knit() first to get the tex document, and let Eclipse compile tex to PDF; in the above configuration, the two steps were combined into one knit2pdf(). See the post in the blog Dang, another error for the alternative way of configuration.
Thanks, Jenny!