Well, As someone who managed to avoid ever having to learn Acad, I think part of the swamp you are in is simply called "change" or "different". :-)
Completely integrated is elegant, but for many of your suppliers it really will not help them.
For many processes like pad printing, silk-screen etc., an EPS or illustrator file is best. it is vector based artwork, and scales perfectly. They need 2D computer art. SW does not output this type of result well. And you suppliers are not going to apply graphics form a native CAD file. Usually there is a design or artwork preperation department, and they are going to use Illustrator or similar product, and will want an EPS file. So it is best if you (or a graphic designer) make that based on a 1:1 line drawing from SW. In fact, I was just doing one today for a client to use for embossed graphics. The graphic will be photoetched, and I will supple the EPS file with guidelines to align to the part features.
Having the graphic on the CAD model might be useful for in-house QA, but often they will want an arwork film 1:1 that they can overly onto the product to check.
If you were doing keycaps like a computer, with molded graphics, that is another story. Then you might want to model the type font as a 3D object.
I hear ya... In another thread here, there apparently will be the feature in 2006 for applying graphics that are visible all the time when working. If true, that will be very cool! But I would caution, that sounds like eye-candy and not a technical documentation feature for production artwork.
Always a sensible thing to do...
There will be others... not to worry :-)
Hmmm. I imagine that they will still work from an EPS file.
If you REALLY want to do this... and since your caps are flat... Import the text, or create the text as a sketch. Perhaps one cap at a time. Then, use insert > curve > split line, and that will give you a separate surface in the shape of your letter. You may need to do several operations for letters with open centers, like "o" "p" etc. Then select the surface of the letter and change the color using edit Color. That will look very good. But again, I do not suggest this as a means for technical documentation since the artwork is not parametric to the part and vise versa.