The convert binary is supplied by ImageMagick, so if you haven't already installed it, do so first. ghostscript is also necessary to create PDF's.

# pacman -S imagemagick ghostscript

Convert all JPG files in current directory to PDF with .pdf suffix

$ for f in ./*; do convert $f $f.pdf; done

Combine all pictures in a single PDF file

$ convert "*.jpg" combined.pdf


ImageMagick produces invalid PDF's

If the resulting PDF's are corrupted or are otherwise not created as expected, make sure you actually installed ghostscript.