If it is possible to get a closed form for the integral that is preferable as it simplifies the downstream processing. Note: this is not always possible.
Integrate[f[alpha, x], {x, g[alpha], h[alpha]},
Assumptions -> 1/40 <= alpha <= 1/8]
(* 1 + Sqrt[alpha] + (3 alpha)/2 - (5 alpha^2)/2 - alpha^(
5/2) - (5 alpha^3)/2 + 2 alpha^5 +
2/3 alpha^2 (alpha Sqrt[Sqrt[alpha] + alpha] +
I (1 - 2 alpha^2)^(3/2) + Sqrt[alpha^(3/2) + alpha^2]) *)
Now define a function, f2
f2[alpha_] :=
1 + Sqrt[alpha] + (3 alpha)/2 - (5 alpha^2)/2 - alpha^(5/2) - (
5 alpha^3)/2 + 2 alpha^5 +
2/3 alpha^2 (alpha Sqrt[Sqrt[alpha] + alpha] +
I (1 - 2 alpha^2)^(3/2) + Sqrt[alpha^(3/2) + alpha^2])
To generate the table
Table[{alpha, N@f2[alpha]}, {alpha, 1/40, 1/8, 1/40}]
(* {{1/40, 1.19395 + 0.000415886 I}, {1/20,
1.29172 + 0.00165418 I}, {3/40, 1.37048 + 0.0036869 I}, {1/10,
1.43738 + 0.00646767 I}, {1/8, 1.49509 + 0.00993222 I}} *)
NIntegrate[]
? $\endgroup$