It's kinda hard to pinpoint, especially when controlling a large army. What I do is split the heroes, ranged, flying and melee units apart with Ctrl+1 and Ctrl+2 etc and use them to focus. Usually I use the ranged and flying to destroy the melee heroes (I play NE too much
), the heroes to focus on the other units and the melee to attack+move. The F1, F2 and F3 keys are useful to highlight the heroes. If you need some practice, play a lot of Counterstrike. It helps your reflexes.
Oh, and moving your hero around is not a great idea, since you neglect your army. A hero cannot take on another army himself without its own army, but an army without a hero can take on one with a hero. Just keep an eye out on your hero at the side. Turning the formation off helps keep your hero safer as well.