Or the sounds-nice-in-theory-but-frustrating-in-practice method:

Rather than doing A-L, M-Z, make categories for your artists grouped this way:
1 (has artists that start with A D G J M P T W)
2 (has artists that start with B E H K N R U X)
3 (has artists that start with C F I L O S V Y)
Then you select the number (1 through 3) and then you can press the letter on the remote to go to that section. Example: You want to find Shania (I sort by first name) select 3 from the top menu, then press 7 on the remote. Since nothing in sub-list 3 starts with P or R, it goes straight to the S section.