In R you can do this using Org.HS. Below is an example:

source("http://bioconductor.org/biocLite.R")
biocLite("org.Hs.eg.db")
library("org.Hs.eg.db")

# mapped_genes are all the genes that org.HS.egPMID covers (the HS refers to homosapien). These genes are in Entrez format.

# entrez2Pmid is a list taking entrez gene ids to a vector of Pmids.

mapped_genes <- mappedkeys(org.Hs.egPMID)
entrez2Pmid <- as.list(org.Hs.egPMID[mapped_genes])

# now if you have an entrez gene id you can look up the relevant papers by doing

entrez2Pmid[myEntrezGene]

Here is a pastebin of the code since I stink at using the biostars code formatter

There is a tutorial here.

Also you can just use http://idconverter.bioinfo.cnio.es/IDconverter.php. Although I've found that sometimes the results seem to be a subset of the results you get using the method outlined above.