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I found a solution to this!

Simply set the terminal type to epslatex. This creates an eps, which is automatically included in the latex file.

Here's a MWE:

\documentclass{article}

\usepackage{gnuplottex}

\begin{document}

\begin{gnuplot}
set terminal epslatex color
set title 'Color graphs ...

Thank you very much for the link. I tried some and eventually got a gnuplot error

terminal "latex" does not support continuous colors.

I've heard there's a way to do it with PSTricks. I'll keep a lookout.

And I have found a way to do that with the gnuplottex package, but I can't figure out how to make it produce graphs with color. Here is a minimal working example of what I have:


\documentclass{article}

\usepackage{gnuplottex}

\begin{document}

\begin{gnuplot}
set key left
plot [-2:2] x,x**2 ...