Hi:
TAGSETS.MSOFFICE2K_X -does- support multiple worksheets -- not quite as seamlessly as TAGSETS.EXCELXP, but it does support multiple worksheets.
I suggest you update your template store to include TAGSETS.MSOFFICE2K_X, as described here and then run some of the examples, also found on this page:
http://support.sas.com/rnd/base/ods/odsmarkup/msoffice2k/index.html
The Introduction explains how to get the new TAGSET template for MSOFFICE2K_X and the list of examples shows how to create a multi-sheet workbook.
Do remember that the limitations of MSOFFICE2K, MSOFFICE2K_X and ExcelXP are inherent in the nature of each file specification, as determined by Microsoft. MSOFFICE2K and MSOFFICE2K_X both create HTML-based files (although the MSOFFICE2K_X mixes a bit of XML into the HTML mix -- per Microsoft design) and TAGSETS.EXCELXP creates pure Spreadsheet Markup Language XML -- also per Microsoft design. It is by Microsoft design that Spreadsheet Markup Language XML does not support image inclusion.
cynthia