First, print from your application (ie. Firefox) and make sure to check "Print to file":
Press Print, save the file as filename.ps , and then run the following command:
$ ps2pdf filename.ps
The resulting file will be filename.pdf.
This is also a good way to convert old PS files (which can get pretty large) to the smaller PDF format. And, if for some reason you want to go the other direction, you can always use the pdf2ps utility.