First, make a gnuplot "plot" file which uses "postscript" terminal output
Although the new gnuplot supports pdf terminal output - it doesn't seem as full featured as the eps/pdf output.
The important terminal lines are as follows: set terminal postscript portrait enhanced color dashed lw 1 "DejaVuSans" 12
set output "temp.ps"
Next run gnuplot on your plot file: gnuplot temp.plot
Then convert the eps to pdf: epstopdf temp.ps
Then use pdfcrop to make sure the bounding box is aligned with the output: pdfcrop temp.pdf; mv temp-crop.pdf temp.pdf
This can all be done via a script (eg: save it as gnuplotcrop):