If you have a word processor (like MS WORD) that allows you to insert special symbols like ½ ° µ you can just copy and paste them directly into MATLAB. If using an m file just copy paste these characters into your quoted character array and pass it to your call to set tick labels. The characters are not exactly the same as the TeX characters so make sure you are consistent with this strategy.
Why is all this functionality not yet added to matlab's hgexport.m file? The tight bounding box calculation which includes ALL text labels vs. just the axes is clearly an improvement. I am using 22.214.171.1241 (R2008b)