How to convert XML files to PDF files?

How do I batch convert jpeg files to pdf using Imagemagik?

I have a list of JPEG files and PNG files on my linux machine which I need to convert to PDF (individually and retaining the file name). Can someone please provide step my step intructions. The convert does not work as I need to specify a file name for each one, will take too long. Have tried to use Morgify but cannot seem to get the command correct ? mogrify: unable to open image `png': @ error/blob.c/OpenBlob/2489. Would appreciate assistance ? Thanks
Answer:

Sigh... WTF was the command you tried that generated the particular message. Try asking again and include useful information like that. Also PDF isn't really an image format. Probably the most straightforward way to make a PDF containing the images is to send the image to a virutal printer that prints to a pdf tile. Retaining the name can be done via variable mangling in a bash script.

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