Just answered my own question. In the documentation:
"Compressing MAT-File Data To avoid the overhead of compressing data in real time, the To File block writes an uncompressed Version 7.3 MAT-file. To compress the data within the MAT-file, load and save the file in MATLAB. The resaved file is smaller than the original MAT-file that the To File block created, because the Save command compresses the data in the MAT-file."
It appears I am already saving the uncompressed version. Shame it is so slow :(