ALchemy should come as part of the driver package, though as I've found with the Titanium HD, Creative's online driver distribution is quite different from Auzentech's and everyone else, so make sure you back up the driver CD's contents, just in case.
While you do have to set it up for every game (in reality, this consists of copying a dsound.dll and dsound.ini file into the game's executable directory, the latter including some configuration variables), it's pretty much set-and-forget from there. I actually like it better that way; makes per-game tweaks easier and makes things less likely to screw up by forcing it system-wide.
Also note that EAX can be accessed one of two ways: through DirectSound3D (which Microsoft effectively killed with Vista and gave us an inferior replacement in XAudio2 + X3DAudio, and also why you need ALchemy in the first place), or through OpenAL (which still functions fine, and is the reason why ALchemy even works in the first place; it wraps DS3D calls into OAL ones). The games that use OpenAL to begin with (Battlefield 2 and 2142, most UnrealEngine2 titles, a few early UnrealEngine3 ones like UT3) do not need ALchemy at all for the aforementioned reasons.