I write my ebooks in MS Word to get them all nice and pretty with Table of Contents and all. Then I use PrimoPDF to convert them to .pdf. It's free. It installs itself as a printer on your computer.

1) Just open your document in Word
2) Act as if you are going to print the document, but instead of choosing a printer from the list, select PrimoPDF to "print to". It will prompt you for a file name to save it as a .pdf.

That's all there is to it! I love it. One of the reasons I like it is because it retains MS Word formatting. I've tried other free pdf creators that won't save header and footer contents or messes them up.