You don't want to do that. Instead, create your UIPickerView in Interface Builder and connect it to an Outlet in your view controller. Add it as a subview of your main view and set its frame coordinates so that it is offscreen just below the bottom edge, x=0, y=480.
Then, when you want to display the picker, animate it onto the screen with something like:
[UIView beginAnimations:nil context:NULL];
[colorPicker setFrame:CGRectMake(0.0f, 416.0f, 320.0f, 216.0f)];
[UIView commitAnimations];
And then hide it when you're done picking with this:
[UIView beginAnimations:nil context:NULL];
[colorPicker setFrame:CGRectMake(0.0f, 480.0f, 320.0f, 216.0f)];
[UIView commitAnimations];
This will cause your picker to slide up from the bottom animated and slide back down when you're done.
I don't think adding a picker to a UIActionSheet, if it's even possible, is advisable.
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