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Mike's answer is great. It's also worth pointing out a couple other things.

1. In Mac, you may need to use the quartz device instead, because it is very difficult to configure Macs properly to use the png device, so we don't do it.

2. You can also do quite a bit of R from Sage using the r.[tab] family of commands. This tries to streamline the interface a little. For some reason this is not yet in the standard reference, but

   sage: sage.interfaces.r??

will give you a fair amount of information. You may also want to see my talk from useR! 2010 to see a few other tricks. It's definitely possible to pass R and Sage stuff back and forth, especially if you don't need blazing speed.

Unfortunately, there is still a lot of work to be done to get R types and Sage syntax to be really easy to mix. Maybe you can help?