Generating high-quality figures for documents (theses, papers, etc.) can be challenging. In general, you will want to generate a image file from the figure window and then include that image within your document. Below are some general notes accomplishing this with a Linux-specific example.
The export_fig utility from the Mathworks File Exchange can do most of the heavy lifting with saving high-resolution images from MATLAB figures. To use the package you will need to download the zip archive and place it in a location where MATLAB can find the .m file. You can set the path that MATLAB uses to find .m files so that export_fig.m is always found.
Please read the README file and File Information on File Exchange for documentation. In particular, you will need to install ghostscript.
Here is an example to illustrate using export_fig...
If all goes well you should now have an image file "example.png" in your current working directory that looks like this...
Personally, I get tired of typing all of that - or putting it all in each script - so I have some convenience functions that I use when creating figures for publication. These functions are in the frlbox github repository https://github.com/bsb808/frlbox
The figure export scripts I use are in the figbox folder (https://github.com/bsb808/frlbox/tree/master/figbox): pubfig.m and exfig.m