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Mathematics formalisation is the task of writing mathematics (i.e., definitions, theorem statements, proofs) in natural language, as found in books and papers, into a formal language that can then be checked for correctness by a program. It is a thriving activity today, however formalisation remains cumbersome. In this paper, we explore the abilities of a large language model (Codex) to help with formalisation in the Lean theorem prover. We find that with careful input-dependent prompt selection and postprocessing, Codex is able to formalise short mathematical statements at undergrad level with nearly 75\% accuracy for $120$ theorem statements. For proofs quantitative analysis is infeasible and we undertake a detailed case study. We choose a diverse set of $13$ theorems at undergrad level with proofs that fit in two-three paragraphs. We show that with a new prompting strategy Codex can formalise these proofs in natural language with at least one out of twelve Codex completion being easy to repair into a complete proof. This is surprising as essentially no aligned data exists for formalised mathematics, particularly for proofs. These results suggest that large language models are a promising avenue towards fully or partially automating formalisation.