octave -> gnuplot -> latex in labels HOWTO ?

[Matt Flax]

Hello,

I would like some math formatting inserted into my wordprocessor Figure 
x/y labels.

I would like to put some formatting in my xlabels ... something like :
 gset xlabel '$\\gamma h_2$'
Which when viewed through the word processor should be printed as the 
Greek letter Gamma and an 'h' with a '2' as subscript.

Does anyone out there have PERSONAL examples of how to put latex into 
the labels of plots .... and then import to latex or preferably LyX ?

Normally LyX allows you to export it as a simple .fig file which gets 
converted on the fly , however the labels don't seem to enter the tex or 
lyx math modes ...

thanks
Matt
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