I usually always use auto white balance. I shoot RAW, so I can adjust the white balance later to suit my needs. I often prefer a slightly warmer than accurate white balance.
One big exception is when I'm shooting video. Like shooting jpg, your ability to fix white balance with video is limited. When I can, I set a custom white balance using an Expodisc or a grey card. When I can't, I either use one of the presets or guess. I really don't like AWB for video because it can shift over time.
I've read that you should try to get an accurate white balance even when shooting RAW. The reason is that the white balance affects your histogram and could lead you to mis-expose some shots. Honestly, I think the effect is small enough that I typically don't worry about it. I tried being that fussy for a while, but I didn't see a real world benefit.
One other time I'll manually adjust white balance is when I'm going for an "effect." I sometimes like to take shots with a gel on my flash, set the white balance to match the gel, and let the other colors go. For example, if you shoot a subject at night with a yellow gel and then set the white balance to neutralize the yellow, the background will turn very, very blue. You can still make all of your adjustments in post processing and shoot it RAW, but by using your white balance in real time, you'll be able to preveiw the effect.
In the spirit of Buzz Lightyear a lens can actually be set beyond infinity! Due to manufacturing tolerances many lenses can be focused past the true infinity focus so manually setting the lens to it's farthest focusing distance may be too far. Probably the best way to set the lens to infinity is to autofocus on something far away, in most cases a few hundred feet is sufficient. Then set the lens to manual focus without moving anything.
It's not just manufacturing tolerances that cause a problem. Inifinity focus for any given lens can shift a bit at different zoom levels and at different temperatures. The infinity marking is a reasonable approximation, but your suggesting on focusing on something far away is a good idea. I sometimes use the moon.
That link is a bit loopy. Don't take photography advice from people that can't distinguish between a focus ring and a zoom ring.