The process is relatively smooth, I think - especially if you start off with a Linux machine. However, when I had to compile the package and documentation for BCEA, I still had a couple of blips.
The first problem was in the documentation. R tries to automatically compile a LaTeX file which is derived from the Rd (documentation files - a bit of a pain in the arse to do, but helpful nonetheless). However, for some reason I was constantly getting a warning and the resulting pdf file was not correct (ie it would not have the necessary hyperlinks).
After much searching on the web, I figured out that the problem was the absence of the LaTeX package texinfo. Funny thing is that when I tried to compile the .tex file using the command pdflatex file.tex it was working OK. So I think there's a problem in the way in which R manages the LaTeX compilation. On top of this, you'd need the LaTeX package inconsolata (otherwise the font for the code would look weird).
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