I've just bought a Sony HVR-A1U and am looking at the Steadicam Merlin.
I'm wondering how one sets focus while flying.

My intent is to do 3 types of shoots:
1- Walkthrough woods.
2- Walkthrough town.
3- Walkthrough house.

So, do you let the cam autofocus or do you just pick an averaged distant point and manually focus on that?

Under most conditions you should be able to maintain focus with a 1/3" camera from 4 feet to infinity (approximately), so setting the focus at around 12" should deliver everything you need. This is assuming you are shooting at the wide end of the lens, of course.