Marching at the double allows troops that are away from the main fighting to move more rapidly. This represents the swift movement of reserves to a critical area by means of a rapid march and helps to ensure that units do not get stranded away from the fighting. A unit that is on the march is not prepared for combat so marching is not suitable for a unit that is close to the enemy. In reality, no troops would approach the enemy without their weapons ready.
Marching troops move at twice their normal Movement rate, with weapons sheathed or shouldered. They are literally 'going at the double'.
Troops can march if there are no enemy models within 8" of them at the start of their move. If there are enemy models anywhere within 8" at the start of its move, the unit is too busy preparing to fight and so cannot march. Fleeing enemies are ignored as they present no immediate threat, and so they do not stop your units from marching. Note that the marching unit can move closer than 8" to an enemy as it moves.
A unit on the march cannot change formation or turn as this would disrupt its movement. It can wheel as normal, as you might imagine a column of troops would in order to follow a road, for example.
A marching unit cannot move through difficult or other obstructive terrain or cross obstacles. It must stop if it comes to these features. Units that ignore movement penalties from such terrain can march through it as normal.
A unit that has marched in the movement phase cannot shoot missile weapons during the shooting phase. Wizards with the unit can still cast spells.