To add to the reference Rein made to the FAQ on the pskmail wiki, I'm not sure if everyone has taken the time to read the help file for fldigi. I hope if you read nothing else in the help file at least take a look at this:
http://www.w1hkj.com/FldigiHelp-1.34/OperatingControls.htmlHope this helps understanding the inner works of fldigi. As you will see once you read this that Dave has made quite an effort to provide a fully functional program.
In my case using a TT OmniVI I set fldigi at the vfo + 1000hz. I then press the QSY button which puts the RX/TX in the bandpass of the CW filter. Then I hit the lck button to have the TX set at the vfo + 1000hz and the RX is set at the vfo +1000hz but centered in the bandpass of the CW filter and the AFC is fully functional. HTH....73
Ed W3NR