Oils were originally identified by a vague grading such as "light", "medium" or "heavy", but the viscosity of any grade differed from one producer to another. This difficulty was overcome by a special system of oil-viscosity classification devised by the SAE (Society of Automotive Engineers) in the USA and known as the SAE system of classification.
The SAE numbers give no indication of quality, beyond providing a very rough description of the viscosity of a lubricant at a stated temperature. The suffix "W" is used to designate grades whose viscosity limits are set at -17.8C instead of 99C. The lower temperature has been chosen in these cases to ensure better standardisation of cold-starting performance. Oils designated by "W" are suitable for both winter and summer use.
An oil designated 20W-50 meets the requirements of SAE 20W at -17.8C and SAE 50 at 99C and is referred to as a multigrade oil.
In essence, all modern engines rely on multigrade oils which are viscosity tested at -17.8C and 99C.
The lower the first index, the runnier the oil; the higher the second index, the more resistant the oil is to high temperature degradation.
So, to answer your questions, you should definetly stick to 10W since 0W is too runny, this is why you are topping it up so frequently because it is being lost through your seals and may be finding its way into the combustion chamber (through valve-stem seals etc) and other locations.
For example, if you were considering racing, you would require a higher second index since your oil will be subject to greater high-temp abuse; you should therefore be looking at using a 10W-60.
Tip of the day for Alfa 155 petrol engines..
ROAD USE: 10W-40, change oil and filter every 6 months
RACE USE: 10W-60, change oil as frequently as possible
Remember that oil is what prevents your engine from wearing prematurely, don't buy the cheap stuff since it is not doing the engine any favours, also, cheap oils do not tend to have the necessary detergents required by your engine to perform.
An interesting and informative site for oil specifications is: www.flselenia.it
Hope this helps,