A Banach space is polyhedral if the unit ball of each of its finite dimensional subspaces is a polyhedron. It is known that a polyhedral Banach space has a separable dual and is $c_0$-saturated, i.e., each closed infinite dimensional subspace contains an isomorph of $c_0$. In this paper, we show that the Orlicz sequence space $h_M$ is isomorphic to a polyhedral Banach space if $\lim_{t\to 0}M(Kt)/M(t) = \infty$ for some $K < \infty$. We also construct an Orlicz sequence space $h_M$ which is $c_0$-saturated, but which is not isomorphic to any polyhedral Banach space. This shows that being $c_0$-saturated and having a separable dual are not sufficient for a Banach space to be isomorphic to a polyhedral Banach space.