I would discourage the method of drawing them by hand and importing them via scanner etc. as they won't be scalable. Many journals would be unhappy with such an image, and in any case it would look bad and make your pdf filesize huge. Instead, I am a big fan of the free program Inkscape, which you can get for unix/linux and also mac with the X server, and probably Windows, if you're into that kind of thing. It produces pdf files, in which one can zoom in on the curves and they look nice. Also they print quickly, whereas if you include an image file in a pdf it will take a long time to print on a laser printer (which prefers postscript).
Inkscape is similar to xy-pic, only it's very easy to use. You can start by drawing the knots free hand using the pen tool. Then you click a tool which highlights all the data points of a line segment, and you can start deleting them (alternatively, you can use the command "Path->Simplify"). It also has two extra compatibilities with latex: First, you can get a script to actually run snippets of latex in inkscape to make fonts and such for labels. Alternatively, you can just compile the font you want into a pdf and import it. It will import in a scalable way. Then when you're done you export to pdf, and you can include it back into a new pdf if you are using pdflatex to compile your .tex document. If you use ordinary latex, then you need to save it to .eps; I prefer the former.
Since they only have much fancier screenshots on their homepage, here is a paper with diagrams done in Inkscape.
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