The knitr support in RStudio was added since 0.96. You can download the latest version and enjoy the one-click PDF compilation in RStudio through knitr.
You are free to choose different engines to knit or weave the document, such as Sweave or knitr (please note the default is Sweave and you may want to change it to knitr), and you can also use different LaTeX backends such as pdflatex or xelatex.
Remember you do not have to use LaTeX; I encourage you to try R Markdown there, which is much easier to learn and use than LaTeX.
Be aware also that, as of now, RStudio does not support biber or packages that basically require it such as biblatex-chicago. A number of workarounds have been thrown around (see comments here for example) but one reliable one, as proposed here, is to put the following in a chunk after \end{document}:
system(paste(
"biber", xfun::sans_ext(knitr::current_input()), "--isbn-normalise"
))
The only downside with this one is that it will fail the first time you compile a new file, before you have the auxiliary files generated; it’ll work after that though. The isbn-normalise option, by the way, is optional but generally very useful: it automatically inserts hyphens in the right places in ISBNs.