Most probably know this, but those you didn't will find it useful, i'm sure.
If you are tired of running between cities, just click your both mouse buttons at the same time and your man/woman will start moving in the direction of the mouse pointer. Now you can alt-tab and do other stuff while your character is running where you need, you no longer need to hold mouse button :)

In the same vein, there's also an auto-follow feature that sort of works. Hold alt and click a mobile (player or NPC) and if it moves you'll walk behind it. Don't rely on it too much though, it's kind of wonky!