I dont quite understand what you mean - my_sig(0) is pretty clear. Otherwise you can just set up a constant to do it:
constant INDEX_X : integer := 0;
my_sig(INDEX_X) <= value;
or if you want to completly diversify, use an alias:
alias bit_0 : std_logic is my_sig(0);
bit_0 <= value;
Another point to note is if you're doing this, why are you using the unsigned type. Are you doing arithmatic on it later? also, unsigned types should always be decalred (N downto 0) to ensure arithmatic is done correctly.