Thanks very much for that Mark, however obviously we're doing something wrong as it's not working.
We have multiple sheets (not that it should make any difference) and use the following:
$workbook = new PHPExcel();
** create all the sheets here **
$setup = $workbook->setActiveSheetIndex(0)->getPageSetup();
$writer = PHPExcel_IOFactory::createWriter($workbook, 'PDF');
All the other formating (font size, font weight, column width, etc) works perfectly. So I'm guessing this is more than likely down to my lack of understanding of PHPExcel so please point out any glaring mistakes.