My decision to use Greek forms for all names arose from a desire to create ambiance, but I do have an ulterior motive. In trying to bring the world of Alexander closer to our own, I don't want the reader to confuse the two. As similar as they seem at times, they were not like us. To those familiar with Greek, please excuse the arbitrary nature of my choices and the use of English adjectival and possessive endings on Greek stems. I used Makedonēs but Makedonian, Thrakioi but Thrakian. My decisions were based purely on what looked best to me. Final vowels are always pronounced: Myrtalē = Myrtalay.
Ancient Greek was tonal and rhythmic, what we might call "sing-song." To English speakers unused to it, it might sound rather peculiar. Alexander's name: had a lifting tone on the /e/ so that the syllable "le" seem to rise. Furthermore, various dialects changed pronunciation, so the /ph/ was pronounced as a /v/ or /b/ in Macedonia, but an aspirated /p/ in the south. Ergo, Macedonian names containing it (not Hephaistion or Brephas) have the /b/ below. The /th/ is an aspirated /t/, not a modern "th."
Keep in mind, these are the ancient pronunciations, not necessarily what you'd hear in a lecture or history class today. Sometimes moderns play tricks on ancient people by saying their names in ways they wouldn't recognize (witness "Alexander" himself).
If you'd like to hear what spoken Greek of Alexander's era might have sounded like, Barefaced Greek helps out with that. The video below contains a speech of his recorded in Arrian (keep in mind this isn't exactly what he said, only perhaps the gist). The reader's voice is a bit high for Alexander's (which the ancient sources describe as "barutes"--strong or deep, e.g., a baritone), yet it gives a good feel for spoken Greek. Also be aware that there is a longish lead-in, so the speech doesn't start till about 40 seconds in.
Alexander's speech at Opis in Greek
(Youtube: Epic History TV)