Place all of your images into a folder on your computer.  For this example, I named my folder PDFDirectory.  I am using a * wildcard to convert all of the images in the folder so they do not have to have the same extension.  If you would like to get more granular, you can specify an image extension by adding it to the end of the wildcard like *.jpg.

cd ./Desktop/PDFDirectory
convert * new.pdf