Mah, a me questo codice funziona...

codice:
private void button1_Click(object sender, EventArgs e)
        {
            pictureBox1.Image = new Bitmap(300, 300);

            string measureString  = "Ciao";

            Font stringFont = new Font("Arial", 48);

            SizeF stringSize = new SizeF(); 

            Graphics g = Graphics.FromImage (pictureBox1.Image);                
            stringSize = g.MeasureString(measureString, stringFont);
            g.DrawString(measureString, stringFont, Brushes.White, new PointF(0, 0));

            pictureBox1.Image.Save(@"c:\pippo.bmp"); 

 
        }