You could use Yair Altman's screencapture utility from the FEX: http://www.mathworks.com/matlabcentral/fileexchange/24323-screencapture-get-a-screen-capture-of-a-figure-frame-or-component
screencapture('handle',ax, 'filename', fn); % save the graph in file fn
exlSheet.Shapes.AddPicture(fn,0,1,...
20,... % distance from left of sheet
20,... % distance from top of sheet
600,... % width
400); % height
Note that you will need to have opened an actxserver connection to MATLAB. In the above, ax is the handle to your axes, fn is the file where your image is saved, and exlSheet is an Excel Sheet object.
EDIT: Here is some sample actxserve code. I have had a chance to test this and it works for me. Refer to http://www.mathworks.com/help/techdoc/ref/actxserver.html if needed.
x = 0:0.1:10;
y = sin(x);
f = figure;
ax = axes('parent',f);
plot(ax,x,y);
fn = fullfile(pwd,'myplot.bmp');
screencapture('handle',ax, 'filename', fn);
e = actxserver('Excel.application');
eW = e.Workbooks;
eF = eW.Add; % start a new file; use Open method for existing files
eS = eF.ActiveSheet;
e.Visible = 1; % Excel window won't show up by default
eS.Shapes.AddPicture(fn,0,1,...
20,... % distance from left of sheet
20,... % distance from top of sheet
400,... % width
300); % height
