Works for me. The reasons it doesn't for you probably has to do with your system locale.
?as.Date
has the following to say:
## This will give NA(s) in some locales; setting the C locale
## as in the commented lines will overcome this on most systems.
## lct <- Sys.getlocale("LC_TIME"); Sys.setlocale("LC_TIME", "C")
x <- c("1jan1960", "2jan1960", "31mar1960", "30jul1960")
z <- as.Date(x, "%d%b%Y")
## Sys.setlocale("LC_TIME", lct)
Worth a try.
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