What's wrong with using the Recently Used Glyph feature in the Glyph panel? You can create a keyboard shortcut (Edit > Keyboard Shortcuts) in the Panel menu product area to call out the most recently used glyph, 2nd most recently used glyph, etc.
LOL :), Thanks, Steve. You're right - and I use the glyphs panel fairly regularly. Now that I think about it, my confusion was actually finding the alpha character - the font that I'm using (Helvetica Neue), doesn't have it - and I could only find the alpha in the Symbol font - no others.
So I guess I'll be using Symbol as a standard in these documents.
Lots of Adobe's "Pro" typefaces have full Greek support, including the alpha. Just off the top of my head: Myriad, Minion, Warnock, Arno, Hypatia Sans, Garamond Premier....
I find that the Symbol Greek letters have too high an x-height for the text fonts I use -- they'd work fine, but they aren't elegant. Also, there's no italic (for math typesetting you often want alphas in italic). But you can pick a Pro font that's close to what you want -- since you're working in Helvetica Neue, I'd suggest Minion Pro, since it's also sans-serif. But I believe that there may be a cut of Helvetica (something like "World Helvetica"?) that includes Greek if Myriad is too humanist for your tastes.