This is what I ended up doing:
I had page1.jpg, page2.jpg, etc. I used the Photo Printing Wizard (right-click > Print) on the first one then selected all of them. I chose a full page crop view and printed to PDFCreator. It does indeed create a page for each image. Handy.
The starting with one bit is important - otherwise it gets them out of order. Also, I don't know if the file name bit makes a difference or if you could just arrange the files in the right order in the folder. And... I'm using XP and I would guess it's pretty much the same for Vista and 7.