it depends on what you want to do. if you want to fade text from 0 to 100, then assign the alpha of your (embedded) text to 0 and the first keyframe where you want to start the fade-in and create another keyframe where the alpha is 100.
the easiest is to use actionscript to tween you objects, especially if you have many to tween.
In this case its not text but a line representing a bus route (imported from Freehand). I would prefer to stick to using the colour>alpha drop down for the moment whilst cutting my teeth on Flash. Can I leave the solid portions colour>none or should all four keyframes have alpha values applied, or does it not matter either way ?
only use other properties (like color) of your object if you need to change them. if you're just changing the alpha, that's the only property you need to select and change via the properties panel.