I have to confess, once I'd discovered the first possibility for 1 across (using the table at
http://www.naturalnumbers.org/psquares.html) I didn't look any further, so the fact that values for F and H could be interchanged went completely over my head ! Thanks to midazolam for pointing that out, and to Arden for such a brilliant puzzle.
Aloysius - this Listener solution will be published in The Times in 3 weeks, and usually gives a fairly good idea of how to start the puzzle, if not a complete solution. Different solvers use different routes to the end, and I found using the tables for the 12-digit square speeded things up for me. With 1 across in place, and half of the 20 numbers allocated to letters, the rest of the grid fill was very straightforward.
Tristram - take a look at 8 Ac (MR/S), 11 Ac (M/R) and 20 Dn (MR) which together will give you a single value for R.
Alekhine - see above and double check you have the correct values for F and H