Needs["EpsTools`AddTeX2Eps`"];

fig=Plot[Sin[x^2],{x,0,4},AxesLabel->{"a","b"},PlotLabel->"c"];
EpsExport["d:/test.eps",fig,{"\\psfrag{a}[c]{$x$}","\\psfrag{b}[c]{$\\sin(x^2)$}","\\psfrag{c}[c]{Native \\LaTeX via psfrag package}"}]

Options[EpsExport]
CorrectBB::usage