Well, you probably want to be on continuous auto focus mode. Also shutter priority is a good idea, since your main concern is freezing the motion of the object. The shutter should be fast in order to stop the motion, however the ideal shutter speed would depend on the actual speed of the object. The faster the movement the faster the shutter needs to be.
Something you could try to experiment with is called "panning" where you use a relatively slower shutter speed (one that normally would result in a blur) but you try to follow the object as closely as possible by keeping in the same position in the frame as it is moving by you. This results in the object being relatively "frozen" but the motion is captured by smearing the background. I think it looks pretty awesome but it is more difficult to achieve as it is a harder technique to master. A monopod could be helpful for something like that. Here is an example in panning (I just googled it):
http://farm3.static.flickr.com/2313/1776470208_918607a11a.jpg?v=0