For any given pre-specified gene or short list of genes, yes the Cox
model works fine.  Two important caveats:

 1. Remeber the rule of thumb for a Cox model of 20 events per variable
(not n=20).  Many microarray studies will have very marginal sample
size.

2. If you are looking at many genes then a completely different strategy
is required.  There is a large and growing literature; I like Newton et
al, Annals of Applied Statistictis, 2007, 85-106 as an intro; but expect
to read much more.  

Terry Therneau

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I want to test the expression of a subset of genes for correlation with 
patient survival. I found out that the coxph function is appropriate
for 
doing this since it works with continuous variables such as Affy mRNA 
expression values.

I applied the following code:

cp <- coxph(Surv(t.rfs, !e.rfs) ~ ex, pData(eset.n0)) #t.rfs: time to 
relapse, status (0=alive,1=dead), ex: expression value (continuous)

The results I get look sensible but I would appreciate any advice on
the 
correctness and also any suggestions for any (better) alternative
methods.

Best wishes

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