Following http://yihui.name/knitr/demo/editors/
I added the kntr engine, and I am able to run .Rnw in Texshop.
The problem is that the R version used is the one in /Library/Frameworks/R.framework/Versions/
which is the late 2.15. I noticed this when getting an error that some libraries were not installed. They are indeed installed, but in the path of the recent R version, somewhere in local/bin
In Rstudio, the most recent version of R is used in the compilation of .Rnw files. Therefore, it seems the problem lies with Texshop. Any help to correct the search path?