var
  TSaveMethod = procedure (const FileName: String; ASaveAll: Boolean) of object;

procedure Save(ADefaultExt, AFilter, AFileName: String; AMethod: TSaveMethod);
begin
  with SaveDialog do
  begin
    DefaultExt := ADefaultExt;
    Filter := AFilter;
    FileName := AFileName;
    if Execute then
      AMethod(FileName, TRUE);
  end;
end;

  Save('xls', 'Microsoft Excel 4.0 Worksheet (*.xls)|*.xls', 'Export.xls',    MyGrid.SaveToXLS);