[starcon]

Разобрался сам.
Вот может кому пригодится

Код:

DBGridEh1.DataSource.DataSet.First;
      for i:=0 to  DBGridEh1.DataSource.DataSet.RecordCount-1 do
      begin
      sheet.cells[index,1]:=DBGridEh1.DataSource.DataSet.Fields.Fields[0].AsString;
      sheet.cells[index,2]:=DBGridEh1.DataSource.DataSet.Fields.Fields[1].AsString;
      sheet.cells[index,3]:=DBGridEh1.DataSource.DataSet.Fields.Fields[2].AsString;
      sheet.cells[index,4]:=DBGridEh1.DataSource.DataSet.Fields.Fields[3].AsString;
      sheet.cells[index,5]:=DBGridEh1.DataSource.DataSet.Fields.Fields[4].AsString;