UPDATE
The Hmisc package has been updated, and now allows for arbitrary column specifications. Please see Boris' answer for a simple solution.
Original Answer
One of the problems with the way most R packages generate tables is that they are not easy to adapt to changing functionality within LaTeX. The standard for pretty printing numbers and tables within LaTeX is the siunitx package, which Hmisc doesn't support. There is no simple way around this if you are generating the tables using Sweave unless you post-edit your resultant .tex file.
However, if you are willing to do that, it's not that difficult to generate tables with Hmisc and then replace its r columns with the S column type defined by siunitx.
Here's a example:
.Rnw file
\documentclass{report}
\usepackage[utf8]{inputenc}
\usepackage{siunitx,booktabs}
\sisetup{group-separator={.},group-minimum-digits={3},output-decimal-marker={,}}
\usepackage[noae]{Sweave}
\begin{document}
<<>>=
library("Hmisc")
dat <- matrix(c(1000, 100, 10000, 10000,3.145,1700.42), 2)
@
<<echo=false,results=tex>>=
latex(dat,table=F,center='centering',file='',
booktabs=T,numeric.dollar=F,colheads=c("Col A","Col B","Col C"),colnamesTexCmd="bfseries")
@
\end{document}
Output .tex file
When you Sweave this file, you produce the .tex file which contains the following line:
\begin{tabular}{rrr}
If you manually change this to:
\begin{tabular}{SSS}
the final .tex file looks like this:
\documentclass{report}
\usepackage[utf8]{inputenc}
\usepackage{siunitx,booktabs}
\sisetup{group-separator={.},group-minimum-digits={3},output-decimal-marker={,}}
\usepackage[noae]{Sweave}
\begin{document}
\begin{Schunk}
\begin{Sinput}
> library("Hmisc")
> dat <- matrix(c(1000, 100, 10000, 10000,3.145,1700.42), 2)
\end{Sinput}
\end{Schunk}
% latex.default(dat, table = F, center = "centering", file = "", booktabs = T, numeric.dollar = F, colheads = c("Col A", "Col B", "Col C"), colnamesTexCmd = "bfseries")
%
\centering
\begin{tabular}{SSS}
\toprule
\multicolumn{1}{c}{\bfseries Col A}&\multicolumn{1}{c}{\bfseries Col B}&\multicolumn{1}{c}{\bfseries Col C}\tabularnewline
\midrule
1000&10000& 3.145\tabularnewline
100&10000&1700.420\tabularnewline
\bottomrule
\end{tabular}
\end{document}
Now siunitx can do its magic, and the output is the following:

knitrlooks very interesting, although I don't think it solves this problem directly; the problem here lies with Hmisc's (unavoidable) dependence on particular LaTeX packages. But I may be missing something. If you're familiar withknitrmaybe you could work up a solution using it? – Alan Munn Mar 04 '12 at 17:37knitrso I won't be able to make an attempt. My guess is that you're right. – scottkosty Mar 05 '12 at 03:42