Morning from Sao Paulo,
Got my CPF last thursday (06708/2015). I am a spanish citizen, but i am sure it it's the same process for all expatriates.
Firs i paid a small fee (less than 6 Rs.) in the Banco do Brasil (i paid it in a branch located in Praça General Gentil Falcâo, Brooklyn Novo). Bring your passport and ID. They will fill out a form (a couriosity, they will ask for your mother´s name because it will be included in the data, this -by the way- is something common in Brazil). They will print out a form and then they will ask you to take that form to the Ministerio de Fazenda.
Ministerio de Fazenda (http://www.fazenda.gov.br/) is in the Rua Padre José de Anchieta, 76 - Santo Amaro, São Paulo - SP, 04742-000. (11) 5628-1620. Bring your passport and ID. Grab your number, wait for your turn and the civil servant will fill out the data in the computer and then print a cpf for you. If you get there early you can get your CPF in less than half an hour. Hope this is helpful for those coming to Sao Paulo.