Marcio's excellent solution to this question was of great help to me in adding subviews of any kind to a UIActionSheet.
For reasons that are not (yet) entirely clear to me, the bounds of the UIActionSheet can only be set after it has been displayed; both sagar's and marcio's solutions successfully address this with a setBounds:CGRectMake(...) message being sent to the actionsheet after it is shown.
However, setting the UIActionSheet bounds after the sheet has been displayed creates a jumpy transition when the ActionSheet appeaars, where it "pops" into view, and then only scrolls in over the final 40 pixels or so.
When sizing a UIPickerView after adding subviews, I recommend wrapping the setBounds message sent to the actionSheet inside an animation block. This will make the entrance of the actionSheet appear smoother.
UIActionSheet *actionSheet = [[[UIActionSheet alloc] initWithTitle:nil delegate:nil cancelButtonTitle:nil destructiveButtonTitle:nil otherButtonTitles:nil];
// add one or more subviews to the UIActionSheet
// this could be a UIPickerView, or UISegmentedControl buttons, or any other
// UIView. Here, let's just assume it's already set up and is called
// (UIView *)mySubView
[actionSheet addSubview:myView];
// show the actionSheet
[actionSheet showInView:[UIApplication mainWindow]];
// Size the actionSheet with smooth animation
[UIView beginAnimations:nil context:nil];
[actionSheet setBounds:CGRectMake(0, 0, 320, 485)];
[UIView commitAnimations];