How can I create a multipage PDF from JPG's in Preview?
This works for me on Mountain Lion:


Open all the JPG's in Preview so that the files are selectable within the one window, i.e. thumbnails of the JPG's are viewable in the selection pane located the window's left side.
Click in the selection pane and select all the thumbnails with Cmd-A.
Select File > Print... from the menu bar.
Select PDF > (from the drop down) Save as PDF... from within the Print Dialog. 

Take it from there...