It depends what application you are printing from.
If you are wanting to print to a PDF from within OS X and it's standard app's (preview / safari etc.), select File->Print and in the dialog window that appears check the bottom left corner for a drop-down menu, probably defaulting to 'PDF'. Click that and you will see a list of options and one will read 'Save as PDF' (it's the second one in the list here).
YMMV with other apps.