I use m-dashes a lot and I use the ALT+0151 and it inserts them everywhere I've tried ... Notepad, Word, emails, this email — for example.
If the Alt number pad keystroke isn't workikng for you do you have your num lock key on and are you typing it on the separate number pad rather than the number row above the letters? It does need to be typed on the number pad and with num lock active.
also, like with any Alt shortcut, you do need to leave the ALT key pressed down while typing 0, 1, 5, and 1 in turn. I'd be surprised if it isn't working unless it is something specific to the program you're typing in.
Hope that helps :)