Most are pronounced "like they are written", i.e. using the French default usage. The ê can be pronounced either /e/ or /ɛ/.
Thêta is pronounced /tɛta/ or /teta/, phi and khi are pronounced /fi/ and /ki/.
Only epsilon and upsilon are pronounced as foreign words, never with a nasalisation /ɔ̃/ and the the u is pronounced /œ/: /ɛpsilon/ & /œpsilon/
Psi is not special but simply pronounced like the beginning of psychologue.
Note that omicron is pronounced the French way, with a nasalisation: /omikrɔ̃/.