Octave plot refuses to writ greek letters

[Alon Ben Refael]

After searching the Internet to find out why I can't "saveas" a plot while saving Tex annotations I discovered I need to use gnuplot Graphics Toolkit in order for it to work.
Now, I get the "saveas" to work correctly, however, there are no greek letters.
For example: When entering xlabel ('\Delta', 'interpreter', 'tex') I get 'D' written on the X axis.
When using the FLTK interface I do get the Delta letter correctly.

Please help!
I am lost...

Thank you.