Bram Jochems has written a friendly "Getting Started" post, discussing how to use F# with Excel-DNA in a finance context. His add-in with various F# / Excel-DNA helper utilities, and a bunch of quantitative finance-related UDFs, including option pricing function and volatility interpolation, has been published as a project on GitHub.
It's well worth a look, whether you are using F# and keen to explore Excel-DNA, or just curious about F# and looking for some practical examples.