Do macros which employ conditional formatting work when used with multi-worksheets ?

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I use macros extensively in my work and recently wondered if I could speed things up by merging files into one workbook and applying the macro using the option to apply to all sheets . Fixed formats for column and row dimensions work ok but color coding with conditional formats do not. I am using Excel 2007 and Excel 2010 but neither handles conditional format except on the active sheet. Is there another way to approach this problem?