I have modified gnus-posting-styles so that I will use an alternative
  mail address when replying to a certain mailing list and it works fine,
  but I would like that when I compose a new mail to that list the From
  header is also "automagically" modified to that alternative mail
  address. I didn't find anything obvious in the gnus-posting-styles
  section in the manual (or surroundings). Is there an easy way to
  acomplish that?

You forgot to include the content of gnus-posting-styles :-)

Are you using "a" from the group buffer, or explicitly creating a mail
message?