Yes, it is possible to include eps files directly. One method is explained in this document: https://web.iit.edu/sites/web/files/departments/academic-affairs/graduate-academic-affairs/pdfs/figure-help1.pdf, but other methods may also be possible.
Previously, I used to produce .dvi files, and then .ps and then pdf. If I am not mistaken, the quality of these files may be slightly inferior to those created in one command, pdflatex. Because of this, I always convert eps to pdf (there are standard utilities for this) and then use pdflatex.