OK....so it's early and this is my first cup of coffee but I still am not getting this to work. When I open the alpha set and use the select tool to try to select the letter I want to put in my layout, it makes the box around it but when I am done the box disappears (no marching ants around it). Should the selection tool be on Path selection or Direct selection? What am I not doing right?
Thanks to everyone for the help.

Coffee must have finally kicked in! LOL I finally got it to work. Thanks to everyone for their help!