다음과 같이 스스로  해결했습니다.  원하는 sheet 만들고 기본시트 3개 지우고....
     Excel := CreateOleObject('Excel.Application');
     Excel.Visible := False;

    XLBook := Excel.Workbooks.Add;
    Sheet := XLBook.Sheets.Add;
    Sheet.Name := 'aSheet1';
    //Fill up the sheet
    Sheet.Range[RefToCell(1, 1), RefToCell(DataRows, DataCols)].Value := Data;
    Sheet2 := XLBook.Sheets.Add;
    Sheet2.Name := 'aSheet2';
    Sheet2.Range[RefToCell(1, 1), RefToCell(DataRows, DataCols)].Value := Data;

    XLBook.WorkSheets['Sheet1'].Delete;
    XLBook.WorkSheets['Sheet2'].Delete;
    XLBook.WorkSheets['Sheet3'].Delete;

//////////////////////////////////////////////////////////////////////////////////
thinkstone 님이 쓰신 글 :
: 인터넷 예제를 테스트 하는데
:
: Sheet 1개만 생성하는덴 문제가 없는데
:
: 여러개의 sheet를 가진 파일로 저장하려고
:
: 소스를 수정해보니 "잘못된 색인입니다." 라는에러가......
:
: 잘 몰라서 그러는데 소스 좀 봐주세요. ㅠㅠ
: ///////////////////////////////////////////////////////////////////////////////////////
: (덧붙인 부분입니다. 파일 하나에 Sheet1,Sheet2 만들려고요.)
:     SaveToExcelFile(const AFileName: TFileName); 에서
:
:     Excel.Workbooks.Add(Worksheet);
:     Sheet2 := Excel.Workbooks[1].WorkSheets[2];
:     Sheet2.Name := 'Sheet2';
:     Sheet.Range[RefToCell(1, 1), RefToCell(DataRows, DataCols)].Value := Data;
: ////////////////////////////////////////////////////////////////////////////////////
:
: //소스///////////////////////////////////////////////
:
: unit Unit1;
:
: interface
:
: uses
:   Windows, Messages, SysUtils, Variants, Classes, Graphics, Controls, Forms,
:   Dialogs, StdCtrls, ExtCtrls, Grids, DBGrids, DB, DBClient,
:   DateUtils, ComObj;
:
: type
:   TForm1 = class(TForm)
:     ClientDataSet1: TClientDataSet;
:     DataSource1: TDataSource;
:     DBGrid1: TDBGrid;
:     Button1: TButton;
:     RadioGroup1: TRadioGroup;
:     SaveDialog1: TSaveDialog;
:     procedure Button1Click(Sender: TObject);
:     procedure FormCreate(Sender: TObject);
:   private
:     { Private declarations }
:     procedure SaveToCSVFile(const AFileName: TFileName);
:     procedure SaveToExcelFile(const AFileName: TFileName);
:   public
:     { Public declarations }
:   end;
:
: var
:   Form1: TForm1;
:
: implementation
:
: {$R *.dfm}
:
: function RefToCell(ARow, ACol: Integer): string;
: begin
:   Result := Chr(Ord('A') + ACol - 1) + IntToStr(ARow);
: end;
:
: procedure TForm1.Button1Click(Sender: TObject);
: begin
:   case RadioGroup1.ItemIndex of
:     0:
:     begin
:       SaveDialog1.Filter := 'Excel File|*.xls';
:       if SaveDialog1.Execute then
:         SaveToExcelFile(SaveDialog1.FileName);
:     end;
:     1:
:     begin
:       SaveDialog1.Filter := 'Comma Delimited|*.csv';
:       if SaveDialog1.Execute then
:         SaveToCSVFile(SaveDialog1.FileName);
:     end;
:   end;
: end;
:
: procedure TForm1.FormCreate(Sender: TObject);
: const
:   CMonths: array[1..12] of string = (
:     'Jan', 'Feb', 'March', 'April', 'May', 'June', 'July', 'August', 'Sept',
:     'Oct', 'Nov', 'Dec');
: var
:   I, J: Integer;
: begin
:   with ClientDataSet1.FieldDefs do
:   begin
:     Add('Year', ftInteger, 0);
:     Add('Month', ftString, 12, True);
:     Add('EEPoints', ftInteger, 0);
:   end;
:   ClientDataSet1.CreateDataSet;
:
:   Randomize;
:   for I := 2008 to 2010 do
:     for J := 1 to 12 do
:     begin
:       ClientDataset1.Append;
:       ClientDataset1.FieldByName('Year').AsInteger := I;
:       ClientDataset1.FieldByName('Month').AsString := CMonths[J];
:       ClientDataset1.FieldByName('EEPoints').AsInteger := Random(25000);
:       ClientDataset1.Post;
:     end;
: end;
:
: procedure TForm1.SaveToCSVFile(const AFileName: TFileName);
: var
:   RowValue: string;
:   DataCols, I: Integer;
:   Stream: TMemoryStream;
:   function DblQuotedStr(const Value: string): string;
:   begin
:     Result := '"' + Value + '"';
:   end;
:   function AddToString(const ABaseValue, AFieldValue: string): string;
:   begin
:     if ABaseValue = '' then
:        Result := DblQuotedStr(AFieldValue)
:     else
:       Result := ABaseValue + ',' + DblQuotedStr(AFieldValue);
:   end;
: begin
:   DataCols := ClientDataset1.FieldCount;
:
:   Stream := TMemoryStream.Create;
:   try
:     //write the titles
:     for I := 0 to DataCols - 1 do
:       RowValue := AddToString(RowValue, ClientDataset1.Fields[I].FieldName);
:     RowValue := RowValue + #13#10;
:     Stream.Write(Pointer(RowValue)^, Length(RowValue) * SizeOf(Char));
:
:     //write data
:     ClientDataset1.DisableControls;
:     ClientDataset1.First;
:     while not ClientDataset1.Eof do
:     begin
:       RowValue := '';
:       for I := 0 to DataCols - 1 do
:         RowValue := AddToString(RowValue, ClientDataset1.Fields[I].AsString);
:       RowValue := RowValue + #13#10;
:       Stream.Write(Pointer(RowValue)^, Length(RowValue) * SizeOf(Char));
:
:       ClientDataset1.Next;
:     end;
:
:     Stream.SaveToFile(AFileName);
:   finally
:     FreeAndNil(Stream);
:   end;
: end;
:
: procedure TForm1.SaveToExcelFile(const AFileName: TFileName);
: const
:   Worksheet = -4167;
: var
:   Row, Col: Integer;
:   Excel, Sheet, Data,Sheet2: OLEVariant;
:   I, J, DataCols, DataRows: Integer;
: begin
:   DataCols := ClientDataset1.FieldCount;
:   DataRows := ClientDataset1.RecordCount + 1; //1 for the title
:
:   //Create a variant array the size of your data
:   Data := VarArrayCreate([1, DataRows, 1, DataCols], varVariant);
:
:   //write the titles
:   for I := 0 to DataCols - 1 do
:     Data[1, I+1] := ClientDataset1.Fields[I].FieldName;
:
:   //write data
:   J := 1;
:   ClientDataset1.First;
:   while (not ClientDataset1.Eof) and (J < DataRows) do
:   begin
:     for I := 0 to DataCols - 1 do
:       Data[J + 1, I + 1] := ClientDataset1.Fields[I].Value;
:     Inc(J);
:     ClientDataset1.Next;
:   end;
:
:   //Create Excel-OLE Object
:   Excel := CreateOleObject('Excel.Application');
:   try
:     //Don't show excel
:     Excel.Visible := False;
:
:     Excel.Workbooks.Add(Worksheet);
:     Sheet := Excel.Workbooks[1].WorkSheets[1];
:     Sheet.Name := 'Sheet1';
:     //Fill up the sheet
:     Sheet.Range[RefToCell(1, 1), RefToCell(DataRows, DataCols)].Value := Data;
: ////덧붙인 부분(에러 나는 곳)//////////////////////////
:     Excel.Workbooks.Add(Worksheet);
:     Sheet2 := Excel.Workbooks[1].WorkSheets[2];
:     Sheet2.Name := 'Sheet2';
:     Sheet.Range[RefToCell(1, 1), RefToCell(DataRows, DataCols)].Value := Data;
: ///////////////////////////////////////////////////////////////////////////
:     //Save Excel Worksheet
:     try
:       Excel.Workbooks[1].SaveAs(AFileName);
:     except
:       on E: Exception do
:         raise Exception.Create('Data transfer error: ' + E.Message);
:     end;
:   finally
:     if not VarIsEmpty(Excel) then
:     begin
:       Excel.DisplayAlerts := False;
:       Excel.Quit;
:       Excel := Unassigned;
:       Sheet := Unassigned;
:     end;
:   end;
: end;
:
: end.
:
:      
: