Always running helps a bit (also helps you running into mines a lot).
Another is picking fast shot trait in the beginning (smoother play when you dont needt to /can't make aimed shots)

But the pace is slow, a few seconds of combat (which would take a few seconds in FO3) can take half an hour. But that's tactics gaming for you, and still blazingly fast for those of us who used to roll the dice...

It only affects gameplay in combat. Outside of combat there is absolutely no difference between walking and running, except you get places faster when running. In combat, it does matter a little, but I still ran most of the time since getting into position faster was most important. Even if you have "always run" set to ON, though, you can still walk in combat if you want to. I forget the exact command but I think if you hold SHIFT when you click to move, your character will walk instead of run.

And if you have "always run" set to OFF, then holding shift will make you run instead of walk.

Jarmo is right that if you are worried about traps you might want to start walking so as not to set them off as easily. But in places like towns where you don't think there will be traps, just run everywhere.