really, you only have to sort out your suffix problem. The files itself have not changed. If it does not work, you are including the wrong file in the wrong place or with the wrong name.
I do the following:
1. create a FIG file winfig.fig
2. export to pstex_t
3. now I have winfig.pstex_t with LaTeX text and winfig.eps with graphics.
4. I write a LaTeX document with the name foo.tex
foo.tex contains the following:
\documentclass[11pt]{article}
\usepackage{color}
\usepackage{graphicx}
\begin{document}
\input{winfig.pstex_t}
\end{document}
That works. I can call latex and have foo.dvi after that.
The following works too:
\documentclass[11pt]{article}
\usepackage{color}
\usepackage{graphicx}
\begin{document}
\begin{figure}
\input{winfig.pstex_t}
\end{figure}
\end{document}
Btw your first suggestion that the EPS file contains the formula is a nice idea, but not possible, because WinFIG shows the formula as graphics, which is a pixel bitmap. It is possible to have that in an EPS file, but the resolution is fixed. The printed results would look ugly. It is much better to have LaTeX create a PostScript version of the formula and print that. The printer driver can convert that to the appropriate resolution.