Thanks, Nicole.
I now have a map of Wales that I am happy with (see example).
For the benefit of others, there is an all numeric way of representing a location using the Ordnance Survey grid. One way of looking at it is as eastings and northings, in metres, from an origin near the Scilly Isles.
To obtain such coordinates from a normal 6-figure grid reference, e.g. SU616896, first expand it to a 10-figure reference, SU6160089600. The eastings part of this is 61600 and the northings part is 89600. Now SU defines a 100km square which can equally be described by an easting and a northing from an origin. In the map below, the origin is in the bottom left, so that square SV is described as (0,0), square SU as (4, 1), square HP as (4, 12) and so on. These values then prefix the eastings and northings we already have so, ultimately, SU616896 converts to (461600, 189600). In bounding box terms, eastings is the x-coordinate and northings the y-coordinate.
[img]http://upload.wikimedia.org/wikipedia/commons/e/e3/National_Grid_for_Great_Britain_with_central_meridian.png[/img]
The rather untidy looking website Nicole points us to will do this conversion for you. The other vital piece of information is that this form of coordinates is EPSG_27700.
I hope I've got that all right. It seems to work - although not if you're wanting a map of Ireland, of course.
Jim