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I'm not at my mac, so I can't say for sure if this can be handled by the Preview, but if you have a presentation app (e.g., PowerPoint), just put each photo on a separate slide inside a presentation and then print the file to pdf.
 
Use PDFLab. It's great. It won't flatten (not sure if that's the right term) the resultant PDF file, so if you have lots of JPGS, the pdf file will be huge. If the intended end use of the file is for printing, you might get better results first if you scale the photos down.

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