The Create Object activity allows me to select a Process Flow Variable in the Assign To Field, so I assumed that it would work. However, it seems that it doesn't.
I can work around it by assigning the object to a label on the token first, then using an Assign Labels activity to copy it over to the PF Variable, but it would be better if either the Process Flow Variable option just worked, or it wasn't there.
Same seems to hold for the global variables. Please see the attached model assigntopfvariable.fsm