I've been struggling with this too. I ended up doing like what rm -rf suggested, but with a slightly different approach. I'm on a Mac.

1. Use LaTeXiT to create a label with specific font size.
2. Export it as a PDF with outlined fonts.
3. Import it to Mathematica and use it as a label.

If the export format is just 'PDF vector format', Greek symbols can disappear when imported to Mathematica.

The disadvantages of this method are that

1. We need to import PDF files, ie additional hassle.
2. Their sizes are relatively large because of the outlining of fonts.
3. The font of the labels may not match that of the tick numbers (unless, of course, we undertakes more matching effort).
4. We need to re-create a label that needs change.

I find them acceptable though, considering that

1. The additional workflow is simple. It's less likely to cause us inconvenience when having to do it many times, compared to, with all due respect, the approaches of Heike and rm -rf above. (Anyway, this is subjective.)
2. The Plot code is free of hacks.

Here is an example.

I've been struggling with this too. I ended up doing like what rm -rf suggested, but with a slightly different approach. I'm on a Mac.

1. Use LaTeXiT to create a label with specific font size.
2. Export it as a PDF with outlined fonts.
3. Import it to Mathematica and use it as a label.

If the export format is just 'PDF vector format', Greek symbols can disappear when imported to Mathematica.

The disadvantages of this method are that

1. We need to import PDF files, ie additional hassle.
2. Their sizes are relatively large because of the outlining of fonts.
3. The font of the labels may not match that of the tick numbers (unless, of course, we undertake more matching effort).
4. We need to re-create a label that needs change.

I find them acceptable though, considering that

1. The additional workflow is simple. It's less likely to cause us inconvenience when having to do it many times, compared to, with all due respect, the approaches of Heike and rm -rf above. (Anyway, this is subjective.)
2. The Plot code is free of hacks.

Here is an example.