I don't think here is a direct export to pdf in xmgrace. You should print the file e.g. as postscript (File/Print_setup/Device and then File/Print), and convert it with ps2pdf.
Another option is to install and use a virtual PDF printer (e.g. such as http://www.cutepdf.com/products/cutepdf/writer.asp) which will print your file directly into PDF. On Linux and Mac OS you often have such a virtual printer already installed on your system by default.