You need to create a file in your home directory that will get referenced each time a new terminal opens.
Do a bit of research as to what to name the file, according to what type of shell you are using (tcsh looks for a file called .tcshrc while bash looks for .bashrc).
Once you have that file, make it executable by running:
chmod +x name_of_file
Then, in that file, create your alias (again, you'll need to research how to do this depending on what type of shell you are using). For tcsh, my alias looks like this:
alias tw 'curl -u username:password -d status=\!^ http://twitter.com/statuses/update.xml'
Bash aliases use an equals sign. A bash alias would look something more like this:
alias tw='curl -u username:password -d status=\!^ http://twitter.com/statuses/update.xml'
Note the change in the command after "status=". The \!^
tells the line of code to insert the first argument passed after the alias itself.
Save your file.
You could then run an update to twitter by typing the following in a new terminal:
tw 'my first post to twitter via the terminal, using aliases'
Don't forget to escape 'special' characters (like exclamations) with the escape character, \
(i.e. \!
)