Preview is amazing:
Another way would be to install the Apple Color Laserwriter 600 printer in Windows as a file printer.There are some other good tips on pdf creation on this page.
Then print your visio drawing to a postscript file, move that to your Mac and open it with Preview. Preview converts the postscript to PDF. You can then save the converted doc and delete the original postscript.
The advantage to this method is that you will retain the vector nature of the visio drawing.
This method works for any Windows program that allows printing.