FYI: I've just tried creating temporary PDF files using export_fig, and then appending them in a single go using ghostscript. It's much faster that way. Ghostscript obviously optimizes the call if it receives all the file names to append simultaneously.
Thanks Oliver, we've been using your code for a while and especially use the PDF export function. One thing that we have noticed is that if you append a lot (30+) of plots to the same PDF the process becomes much slower as the PDF gets bigger. Do you know what causes this?