I decided to try out the new OLE capability of 4.0. The good news is that the process seems to work quite well. No hiccups that I saw.
The bad news is the image quality that is displayed is decidely subpar. Here you can see the OLE version on the left, and the cleaner result I got just from pasting directly from visio (i.e. not linked). It still looks poor when printed or pdf'd.
So, as it sits, I don't see the OLE as being an option since the quality isn't professional looking. I don't see any options to improve the quality. Any tricks that I'm missing?