Should I run the blower continuously, or use the "auto" position on the thermostat?
Try both ways. Running the blower all the time will use a little extra electricity, however the home is usually more comfortable, the temperature is more even throughout the home, and the air is cleaner because it is filtered more. The motors generally last longer because they are not starting & stopping. Some of the new furnaces have the ability to use a slow blower speed for continuous operation, and a faster speed when the furnace or air conditioner are running.