My process for making sheet music is to find a midi file that sounds most similar to what I want, then edit it with Notation Composer to fix it and/or make it work for piano. I've had to do a few sheets from scratch because the existing midi was just completely bad, or didn't exist, but doing it this way takes a very long time so I avoid it if possible. To display the labeled notes, I go to Format > Display Easy Notes.
To save the sheet as a pdf file, you can install CutePDF and the required Ghostscript converter (found on the same download page). Then go to File > Print inside Notation Composer and select CutePDF as your printer, which will save it to a pdf file instead of printing it.