That will work if you want to insert a link to a file onto the page. I
think the original poster wanted to know how to insert the *contents* of
Visio and PDF files onto a page.
There is a third party utility found here:
http://www.analogreality.com/onenotepowertoys/OneNoteImageWriter.htm
which can "print" from any application (including Visio and
Acrobat/Ghostscript) into an image on a OneNote page.
Since the documents are printed, the contents of the inserted documents
cannot be further modified (i.e. it's not OLE) nor can the contents be
searched.