I notice that every time I press the display info button while in Movie Mode the auto white balance symbol 'AWB' comes up.
Before shooting I always go to the menu and custom white balance from a picture i've taken in stills mode. When I return from the menu I find that there is no noticeable color shift, and the display still says I am in 'AWB'. Are my eyes deceiving me or is there no way to manually white balance?

The Custom White Balance item in the menu lets you choose which image is used for Custom White Balance. To activate Custom White Balance, press the "Q" button (and scroll until the White Balance icon is highlighted, if necessary), then use the thumb wheel to set it.