Thanks for that link SM, it is very helpful. The truth is that it is still very early days and I cannot rush things, no matter how much I would like to!
Cleo seems quite a character. She has shown no sign of timidity, hasn't wanted to hide away at all! She is very purry and loves lots of attention, her only obvious problem being that she Wants Out.
I don't have any alternative other than a cage to separate them. The child-gates that I am thinking of might be able to stop Alfie getting through but Cleo would get through with no problem. We don't have anywhere they could see each other through glass, which is why we borrowed the cage.
Alfie faced down a dog that came into the house recently, I didn't expect him to run away from another cat! Of course, he has no concept of what a big lad he is. Cleo has a very raucous meow, Alfie probably thinks she is much bigger than him! He is my baby and my prime concern (although, of course, we want Cleo to be happy and settled here too), it is worth doing whatever is needed to make this work.