There is another solution for having citations and references in figures: use Inkscape as suggested in the OP. In particular the save to pdf+latex feature. Any text elements in the figure are generated using latex. This means the correct font and the ability to write any latex you want as text. I still like hand editing figures to add complex annotations so I like being able to use Inkscape's GUI.

Good thing is that you don't even need a Makefile. If you use latexmk it can automatically run gnuplot [1]. It's very useful if you are in "continuous-preview" mode (aka automatic builds when you change the source of the document).

http://tex.stackexchange.com/questions/106512/gnuplot-in-lat...

org-mode is also worth looking into. You can execute code fragments and embed the results using Babel[1]. Makes it simple to use the output of e.g. gnuplot or matplotlib.

I am relatively new to org-mode (via Spacemacs). But I really like it, you can use it as a quick notebook to jot down things, run code, and export the result as PDF per LaTeX.

[1] http://orgmode.org/worg/org-contrib/babel/

You don't even need that, if you allow shell-escapes you can run gnuplot directly from your latex call.

I was aware of latexmk, but I didn't know it can run gnuplot too. That's great! Thanks!

That is extreme - but a nice example of the implications of tight LaTeX integration!