If you have Latin Modern fonts on your system you get a better result with

funs = {Sin[x], Normal[Sin[x] + O[x]^8]}; g = 
 Plot[Evaluate[funs], {x, 0, 2 Pi}, AxesLabel -> {"x", "Sin"}, 
  PlotLegends -> {Style[TraditionalForm[Sin[x]], 
     FontFamily -> "Latin Modern Roman"], 
    Style[Normal[Sin[x] + O[x]^8], 
     FontFamily -> "Latin Modern Roman"]}, 
  BaseStyle -> {FontSize -> 10, FontFamily -> "Latin Modern Roman"}, 
  Frame -> True]

Otherwise try with the Times font family.

Mikel,

You can also consider selecting the cell in Mathematica and then going to File > Save Selection As or File > Print Selection. In the second one, you can print to a PDF (I have found that this second option is the best way of getting a multiple-page PDF, but you may not need that for your figure). The first option is useful because it provides many other formats.

In LaTeX you can use \includegraphics to put the file in your document. This function is included in the graphix package, if I recall correctly.

OL.