According to the Wikipedia page,
Option + ' (apostrophe key) should be enough to input the "æ" under Mac OS X.
However, on my japanese MacBook, it results in "¶".
Is there a menu where I can change or check the keyboard shortcuts for special characters ?
Open System Preferences > Language & Text > Input Sources and enable the Keyboard Viewer in the list and the checkbox for the Input menu. You can then access Keyboard Viewer from the Input menu icon on the menu bar. Press modifier keys to see how they change the characters you type by pressing another key while they're pressed.
If the character is not on your keyboard layout at all, you can always use Character Viewer (in the same list as Keyboard Viewer) to search for the character and drag&drop it from there onto your document.