What I do is the following:

lcFilename = "My Filename." && Make sure you end the filename with a '.'
Set Printer To Name "Adobe PDFWriter"
Report Form MyReport To File (lcFilename)


This will create two files:
My Filename
My Filename.pdf

"My Filename" is a temporary file so it can be deleted after the PDF is created.

Let me know if there is a problem and I can get you the exact code I use.