The suggestion is to create a page that contains what is referred to as the Access Key Bindings. This shows/tells the visitors what Access Keys are available and what keys are assigned.
I've been using them for over four years now and haven't had any comments positive or negative about them. I like them because I'm a keyboard power user so I can easily navigate specific areas of a site without having to touch the mouse. Particularly useful on a laptop with a touch pad. I still, to this day, cannot work with a touch pad, I just can't do it.
Access Keys are not universally supported. The following is a brief outline of who supports what and how they are invoked.
6.3 Keyboard access
11.1 Keyboard access to forms
17.11.2 Access keys
Personal Side Note
The Access Key is one of those things that adds a level of accessibility for certain environments. The UK guidelines were written for UK Government websites and do not necessarily apply to all websites.
For example, let's say you have a busy message board or forum. You might take the 0-9 numbers and assign those to various Access Keys for your users. As long as you have a quick link to a map that contains the Access Key Bindings (what keys are assigned to what number), you can do as you wish.
Just keep in mind, that there is a chance that your Access Key Bindings are going to conflict with preassigned Bindings from other programs. Using 0-9 minimizes those conflicts but they still exist. Using letters really opens up a can of worms and you should be aware of what may or may not happen when using alpha and numeric Access Keys.