you need to give these entries a sort field. you've actually chosen the easiest approach, sorting them in with the alphabetic entries. egreg has provided good examples for the first two:
my suggestion for the
including a space after the
a to make sure it sorts at the beginning.
i've been compiling a set of notes on how to prepare a "clean" index, presenting tactics for avoiding all the problems i've seen in my experience as author technical support for the ams; when it's ready for general consumption, it will be posted on the ams web site for general reference, and i'll update this answer with a link.
(1) Regarding the index sort: Remember that the sorting is parallel at each level, so if a symbol is subsidiary to another entry, a sort field needs to be provided at the relevant level. Say you have this two-level entry with multiple sub-entries at the second level:
Omega (the symbol)
Assuming you want the sub-entries in alphabetical order, you should enter the second sub-entry as
otherwise it will be sorted before the first sub-entry.
The same principle applies at the third level, if your index entries are nested that deeply.
(2) Between the time of the original answer and this addendum, I have retired, and there is no longer any question that an answer might be the "official" position of my employer. Hence any posting by me will now be in "proper" upper- and lowercase.
There is another consequence implied here. The notes I was compiling on preparing a "clean" index weren't completed before I left AMS. I do intend to complete them, but it's not certain that they will be posted on the AMS web site. They will, however, be posted to CTAN and I'll give a link when this happens.