How do I bind AltGr+key to a symbol?

This is easy to do with xmodmap. You can use a keysym directive to change the keysyms associated with a key. This affect all the keys that are currently sending this keysym with any modifier combination. For normal printable characters, the four keysyms are the ones for the bare key, the key with Shift, the key with AltGr and the key with AltGr+Shift respectively.

keysym A = a A aring Aring
keysym O = o O oslash Ooblique
keysym W = w W ae AE

Put these directives in a file, e.g. ~/.Xmodmap, and load them with xmodmap ~/.Xmodmap. The file called ~/.Xmodmap is automatically loaded when you log in in some environments (this depends on your unix variant and desktop environment).

You can find keysym names in /usr/share/X11/locale/en_US.UTF-8/Compose or /usr/include/X11/keysymdef.h (Debian locations, may vary on other systems). If you don't know the keysym name for a symbol, you can use its Unicode number: U followed by hexadecimal digits, e.g.

keysym W = w W U00e6 U00c6

You can accoplish that with custom XKB map. I recommend you to dump the current map with xkbcomp $DISPLAY dump.xkb, edit it and load it with xkbcomp newmap.xkb $DISPLAY. Dump file is pretty large and has a lot of superfluous information.

Easiest way to go about the editing is to look up how the altgr is used in your current map. It's usually ISO_LEVEL3 modifier. If your current keymap does not use altgr, you can try loading one that does to see how it can be done. For example -layout us -variant altgr-intl is pretty extensive and has most if not all european keys bound. Below is a short primer of what's going on.

xkb gets keycodes from kernel, sets a label for each and uses that label and modifier keys to decide what keysym it should output. Each key has a type assigned to it which defines what modifier keys it expects and what to output for each combination. Looking at the dump you got with xkbcomp: labels are defined in xkb_keycodes, types in xkb_types and label-to-keysym in xkb_symbols. Of these, xkb_symbols is the one you want to edit and reference the other two to know what to change. You can also just look at the xkb_symbols and find how it's currently done and edit as appropriate.

xkb_types section holds different modifier levels for key definitions and you'll want to one which has altgr and shift modes. Example:

type "FOUR_LEVEL_ALPHABETIC" {
    modifiers= Shift+Lock+LevelThree;
    map[Shift]= Level2;
    map[Lock]= Level2;
    map[LevelThree]= Level3;
    map[Shift+LevelThree]= Level4;
    map[Lock+LevelThree]= Level4;
    map[Shift+Lock+LevelThree]= Level3;
    level_name[Level1]= "Base";
    level_name[Level2]= "Shift";
    level_name[Level3]= "Alt Base";
    level_name[Level4]= "Shift Alt";
};

That means that key marked as FOUR_LEVEL_ALPHABETIC has four modes. Normal, shift/caps, altgr, altgr-shift which sounds like what you're looking for.

Now you want to find out what the keycode for w is if you don't know it already. xev | grep -A2 --line-buffered '^KeyRelease' | sed -n '/keycode /s/^.*keycode \([0-9]*\).* (.*, \(.*\)).*$/\1 \2/p' gives you the keycode for keys you press. grep is there to make the output more readable.

Cross-reference the keycode you got with xkb_keycodes section of the dump map you got earlier. For me, w gives keycode 25. less the dump and find the correct keycode in form of <LABEL> = ##;, example <AD02> = 25;. Or cat dump.xkb| grep ' = 25;' Label is just a name xkb uses to reference the key in later sections.

Now that you have the label, go to xkb_symbols which actually maps the labels to keysyms. The format is

key <AD02> {
        type= "FOUR_LEVEL_ALPHABETIC",
        symbols[Group1]= [  w, W, aring, Aring ]
    };

type= is the type you want from xkb_types section, symbols[Group1]= has one keysym for each of the modes required by the type. Again, normal, shift/caps, altgr, shift-altgr for this type. [Group1], as far as I've understood is a method of using multiple keymaps you can change on the fly with a lock key you set up. I don't use groups myself so everything is group1 for me.

to find all the different keysyms you can use here, check /usr/include/X11/keysymdef.h. The two symbols you're looking for are ae for æ and AE for Æ.

key <AD02> {
        type= "FOUR_LEVEL_ALPHABETIC",
        symbols[Group1]= [  w, W, ae, AE ]
    };

I may have rambled a bit. Check out Arch Wiki's page on XKB, it's good stuff no matter what OS or distro you're using.