Watch this Author's files
export_fig did exactly what I needed.
I had to change the file user_string.m though, because it failed to write the settings. MATLAB said "error: Error using ==> fwrite: Invalid precision.", so I replaced fwrite with fprintf.
The correction can be found here.
Oaxis worked very well for me - thanks for sharing, John.
I just wanted 2 arrow heads though (one to the top and one to the right), and modified the customplots/@customplots/@oaxes/methods.m as follows: https://www.dropbox.com/s/kswquujnal82elx/methods.m
It would be nice to have a documented option instead of my hack.