It is pretty simple. First you need to choose a terminal that supports Unicode; then you can really insert your Unicode characters directly. The old pdf terminal does not support Unicode, as you learned, but the later pdfcairo does. You say it ruined your graphs, but how? I found that it gives the same result, but with better quality (smoother lines, anti-aliasing and Unicode!).
Each has a different set of terminals. Other terminals that may support Unicode on your system are pngcairo and svg. The latter is a vector format such as pdf. If you need a pdf file as the final file, and pdfcairo does not work for you, use something else that can handle Unicode and convert the file. The LaTeX solution is ultimately the best if you want great labels and math decorations, but you need to work well in LaTeX to control the output.
Lee phillips
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