Here is what I do...
I go to my settings file (My Documents\My Games\Ironclad Games\Sins of a Solar Empire Rebellion\Setting\rebellion.user) and find this line:
MaxEmpireWindowStackSize 10
Then I change the number to 1000...
When you "stack" the empire tree, it groups like units up to this number...if it's ten, it will group your cobalts by groups of 10 in the empire tree, which I find to be rather useless...by setting it to 1000, virtually all of any unit type can be selected by one click...additionally, you can also select all of the enemies' cobalts or whatever for attack orders...
As far as switching from one individual unit to the next, tab is usually good (it is a hotkey that can be set)...shift+tab goes in reverse order, and is also a hotkey (though it will cause the in-game steam stuff to come up so either disable that or change the hotkey)...one note is that right clicking on an ability toggles its autocast, and this applies to all units selected (assuming they are the same frigate type)....so at the very least, you can disable the autocast of certain abilities in mass....
If a planet has a fleet (and by fleet, I mean you actually formed a fleet using the UI), any units streaming in will by default try to join the fleet...when a new unit joins a fleet, it will adopt the fleet settings of the "fleet flagship" (this is the unit with a white triangle on it in the empire tree...usually a capital ship or titan but not always)...so, if your fleet (again, formed by using the fleet formation button in the UI) is set to hold position, as new units are built or trickle in, they will automatically join the fleet and adopt the hold position...
There are some things worth mentioning in this regard...if, for example, you have 2 hypothetical fleets at a planet, one of your carriers and one of your light frigates, when carriers jump in they will join your carrier fleet and likewise for other unit types...combined with the stack size setting I mentioned earlier, it is fairly easy to quickly form fleets of specific units with their own unique settings...also, try to avoid having a carrier (not carrier capital ship, just a normal carrier frigate) as your "fleet flagship" unless your fleet is only carriers...sometimes these fleets don't attack properly since carriers have no weapons...
Be careful with fleets though, as they also can be a nightmare and have unintended consequences if you aren't careful...for example, if you give an entire fleet an attack order, all ships in the fleet will stop what they are doing (even if they were bombing a planet, retreating to get healed, or in the middle of using a channeling ability...
In general, fleets should be used more for setting fleet cohesion, range of attack, etc and the empire tree should be used for giving attack orders...
That being said, it really all comes down to personal preference...I don't use any hotkeys while playing online which is rather unusual for competitive online play, so other MP players may do things quite differently than I do and hopefully they'll give you some ideas on their executions...those who only play SP against the AI and/or play on slower speeds can "get away" with doing things almost any way since there is no time crunch...