Ricardo,

You can accomplish the sort by using the SDK Script activity and a few lines of code.  Add an SDK Script activity below the activity where you are appending a list field choice;

Update the Execute method with this code. Note: In the code below the name of the list field is 'ListField'.  When you update your SDK Script activity use the name of your list field;

        protected override void Execute()
        {

            // Get a reference to the listField...
            FieldInfo fi = Field.GetInfo("ListField", this.RASession);

            // Copy the fieldInfo item list to a temp list...
            List<string> itemList = fi.GetItemList();

            // Sort the list alpha ascending...
            itemList.Sort();

            // Note: if you want to sort the list alpha descending then comment out
            // the Sort line above and uncomment the Reverse line below...
            //itemList.Reverse();

            // Set the fieldInfo.ItemList to the newly sorted list...
            fi.SetItemList(itemList);

            // Perpetuate the changes...
            fi.Save();

        }

The SDK script will sort the items in alpha ascending order.  Note: If you want to sort the items in alpha descending order just comment out the Sort method and uncomment the Reverse method on the itemList object.