Group squads with tanks/artillery and the squad will move with the tanks when ordered to. A double click will tell the tank to proceed at full speed, and your infantry will fall behind. Grouping tanks and squads together is a safe thing to do when advancing, but won't always keep your tank safe.
The safest thing you can do with tanks is go slow, use officers to spot men in bushes, over small hills, etc. Have 3 man squad left and right of your tank, and a mine sweeper up front. If your tank has a MG turret, make it face the back so nobody sneaks up on you with TNT or a grenade.
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