Setting Romanian diacritics using AltGr on El Capitan

The "native" way in OS X would be to use the US (ABC) Extended layout provided by Apple. It lets you make the necessary characters via alt/option shortcuts. For a list see

http://symbolcodes.tlt.psu.edu/accents/codemacext.html

For the shortcut set you specified, Ukelele or Karabiner is what would normally be used.

Some alternative Romanian layouts made with Ukelele can be found at

http://www.unibuc.ro/e/prof/paliga_v_s/soft-reso/

Bit of a shameless plug: https://github.com/SaltwaterC/romanian-programmers-mac

I've created this keyboard layout as none I could find were actually following the standard for Romanian Pro. I may jump across platforms during a normal day, therefore the layout was an important thing for my use case. Works without changes since 10.8. Now I'm on 10.11.

Bear in mind there's no AltGr on Apple's keyboard. Both Alt/Option keys produce the same keycode. Using the right Option key on Apple's hardware is a matter of convention rather than a necessity.