first of all, welcome to the forum.
second, please note that the standard release of AHK does not support unicode by default. There is an unicode version in the scripts section, but I have not used it, so can't tell you much about it.
third, you don't need unicode for chars like ö
you may use a hotstring (slightly different than a hotkey) to make a quick umlaut script. I in fact used this exact script for all the ös in this reply
Code:
:*::o::ö
the :*: means this is a hotkey with the * modifier, which allows it to by typed in the middle of a word
the next

is the string to type
the :: indicates the end of the input string, and the start of the output string
ö is of course the output string.
That's all you need. type : followed by o to get ö