Great to hear that you've taken the plunge on an Alpha - like you I went up to birmingham to try one out, while really being fairly set on the idea of buying one before I went :)
My breath pipe seems to fit reasonably snugly in the hole at the top of the Alpha - I often just twist it back and forth gently while pressing it in. Often the flange at the base of the breath pipe isn't _exactly_ flush with the top of the alpha, but this doesn't affect its operation. Like Mike I used a bit of recorder cream at first, but I'm beginning to think this isn't such a great idea based on the design of the pipe and the placement of the side holes.
I seem to have more trouble with the mouthpiece end of the pipe, although usually dabbing the o-rings with a wet finger seems to sort it. Maybe the same thing will help with the other end too.
After a few blockages in the side holes, I would advise that you don't leave the mouthpiece in place after playing for any length of time - take of the mouth piece and dry off the pipe.