How to lay down tracks of different widths
Doing it is easy. Setting things up so that you can do it is "the trick"… but not a difficult trick.
Give yourself width alternatives
Use the PCBnew menu item "Design Rules". Click on the further "Design rules" option which arises. That will open a dialog.
There's a pane called "Custom track widths" at the lower right. Enter something sensible in the box next to "Track 1"… that will be an option for you in addition to the "ordinary" width.
What's a "reasonable" width? The KiCad I installed in October 2011 came set up to lay down tracks which are 0.008" / 0.2032mm wide.
Click "OK" to close the dialog.
Now use your custom width(s)
I bet you already know this! But were frustrated when it "didn't work", previously.
When you are in the PCBnew "Add tracks and vias" mode, if you right click on the "page", one option has always been "Select track width". Now you have alternates to choose between!
What about "Auto Width" and "Use netclass values"?
My gut feeling is that these are probably worth studying… but I haven't got to them or needed them yet.
Can you do a global change of all the widths, change already laid down tracks?
I would hope so… but don't at this point know how. I suspect that one of the benefits of "auto width" and "use netclass values" might be that you can do just this sort of thing.