If all you'll *ever* want is A to Z, then manually entering the alphabet
into the "Custom List" is the way to go.
However, if you might need lettering beyond Z, similar to the column headers
in XL (AA, AB, AC, ... BA, BB, BC, ... etc),
You can do something like this:
In A1, enter this formula:
=IF(ROW(A1)>26,CHAR(INT((ROW(A1)-1)/26)+64)&CHAR(MOD(ROW(A1)-1,26)+65),CHAR(ROW(A1)+64))
And copy down as needed.
Row 500 will get you to "SF".
NOW, while these rows are *still* selected,
Right click in the selection and choose "Copy".
Right click again and choose "PasteSpecial",
And click on "Values", then <OK>, then <Esc>.
What you've done here, is simply eliminated the formulas, and left the
actual text values behind.
You can now *automatically* copy them to the "Custom List".
NOW, while these rows are *still* selected,
From the Menu bar,
<Tools> <Options> <Custom Lists> tab,
You'll see your selected range already entered in the "Import List" box by
default.
Simply click on <Import>, then <OK>.
You can now auto fill alphabet combinations.
BTW, you'll find that even though you might have imported upper case letters
into the "Custom List" file,
XL will auto fill with whatever case you start your list with.