@mbrsolution - I took a look at that post, and from what I can understand, the gist of it was to check that the rewrite rules specified at the bottom of the "Install" section are indeed written to my .htaccess file, and they are.
My WP installation is (like many others), installed into a sub-folder from the site root. But the .htaccess at the site root contains all the code specified in the "Install" section.
I don't have another .htaccess file in the WP sub-folder. Should I have?
So anyway, if I understand the main message of that post correctly, its recommendations don't apply to my installation, and YSlow still gives me an 'F' for "Add expires headers", complaining that "There are 36 static components without a far-future expiration date", as before.