If you are creating your diagrams using Excel 2007, there is an easy way to export them in .pdf and then use them as figures in your latex documents.
Open your excel document, select your diagram and then press the office logo and select save as->pdf or exps. Choose a file name and select save as file type tou be PDF (*.pdf). This will result in a pdf file with the diagram and a lot of blank space. In order to remove the blank space use pdfcrop. This a utility is included both in MikTex (latex for windows) as well as in texlive-extra-utils ubuntu package. Alternatevily you can download it from here