The R version 3.3.0 was released today (hooray!). It relies on a curl library version of newer than 7.28. Unfortunately, the latest curl available to wheezy is version 7.26. Instead of using backports and/or update to a newer curl version from jessie, I decided to have the newest curl in a non-standard directory and reconfigure R to use the newest version:

cd /tmp
wget https://curl.haxx.se/download/curl-7.48.0.tar.gz
tar xfvz curl-7.48.0.tar.gz
cd curl-7.48.0
./configure --prefix=/some/non/standard/lib/curl
make
make install

When configuring curl, make sure that HTTPS is listed as one of the supported protocols, since the new R version relies on HTTPS from curl.

Then, download the R source code, configure and build:

cd /tmp
wget https://cran.r-project.org/src/base/R-3/R-3.3.0.tar.gz
tar xfvz R-3.3.0.tar.gz
cd R-3.3.0

export LDFLAGS=-L/some/non/standard/lib/curl/lib
export CPPFLAGS=-I/some/non/standard/lib/curl/include

./configure --prefix=/prefix/to/r/3.3.0 --enable-R-shlib
make
make check
make install

In the code snippet above, we set the two environmental variables LDFLAGS and CPPFLAGS to the corresponding paths in the curl installation. This will make R use the newest curl.

Bonus: If you keep your R libraries in a separate folder and you want to update all packages, use the command below:

R
> update.packages(checkBuilt=TRUE, ask=FALSE)