Steve does try to make him as real as possible. When Alan's 'auto-biography' came out (One of the greatest pieces of sustained comedy writing ever created btw) Steve toured bookshops all over doing signings, giving interviews and reading extracts all in character. Coogan is the Daniel Day-Lewis of comedy actors.
http://www.youtube.com/watch?v=S4mbc2VEojg
^ You can see Ewan McGregor giddy with excitement to be in the same studio as Alan Partridge in this clip.