That's a pretty concrete problem: I have multiple .tex file which include .eps extensions. I have converted all the postscript (old fashioned) stuff into brand new converted pdf, now calling figure.eps by figure.eps.convto.pdf.
This piece of code says the $\mathrm{\TeX}$ files about that daring move:
perl -pi -w -e 's/\\includegraphics(\S+)pics\/(\S+)\}/\\includegraphics$1fig\/$2\.convto\.pdf\}/g;' *.tex
Now pdflatex doesn't like the extension .eps.convto.pdf (which in my mind was to mean "eps converted to pdf"). So I have to to keep only .pdf:
perl -pi -w -e 's/\\includegraphics(\S+)pics\/(\S+)\.e?ps\}/\\includegraphics$1fig\/$2\.pdf\}/g;' *.tex
(doing this for both extensions .eps and .ps by hand) and use the following bash conversion to replace the extension:
convert "$1" ""${1%%.eps}".pdf"
(here again, both for .eps and .ps). The latter is in a shell file called convertme which I call with:
find fig/ -type f -name *.eps -exec ./convertme {} \;
(here again, both for .eps and .ps by hand)
Note that this wasn't a problem before, where I had .ppm.eps or .png.eps files (which I had to convert in similar ways as above, of course), or even more legitimate UNIX filenames:
! LaTeX Error: Unknown graphics extension: .2.pdf.
See the LaTeX manual or LaTeX Companion for explanation.
Type H <return> for immediate help.
...
l.420 ...raphics[height=7cm]{fig/2/Figure2.2.pdf}}