How do you refer to letters of the alphabet?

Solution 1:

In formal writing which preserves the use–mention distinction and has access to both roman and italic faces, your third choice is the preferred rendering:

Does the h come before the g or after it?

For example, in the OED’s entry for the letter g, they write:

From the 13th c., however, the ȝ was by some scribes wholly or partially discarded for y or gh; a few texts have yh. In the 15th c. vocabularies the words beginning with ȝ are at the end of the alphabet. Caxton uses the symbol sparingly, chiefly before final t. The English printers of the 16th c. scarcely use it at all; but in Scotland it survived longer, and has left a trace in the use of z for y in the spelling of surnames like Menzies and Dalziel, and of such words as capercailzie, gaberlunzie.

However they do then go on to write this, in which a mixture of casing and font changes is employed:

In modern English G has the so-called ‘hard’ sound [g] at the end of a word, before a consonant or a, o, u, (exc. in gaol, gaoler), and in words of Teutonic etymology before e and i, as in give, get; also in Hebrew proper names, as Gedaliah, Gideon. In words from Lat. or Romanic it has the ‘soft’ sound [dʒ] before e, i, y; and at the end of a syllable, in words of whatever origin, the sound [dʒ] is represented always by dge or ge, the letter J not being used in this position.

Solution 2:

According to the Chicago Manual of Style, individual letters and combinations of letters of the Latin alphabet used as letters are usually italicized.

Examples:

the letter q

I need a word with two e's and three s's.