Typically if you are shooting the Milky way, you need to be using a very wide lens, so DOF isn't much of an issue. I've shot wide open at 2.8, and objects less than 10ft away are fine. As an example, this photo
was taken with the Joshua tree only about a dozen feet away.
If you are using an AF lens, the infinity trick will not give you good results. Most AF lenses will focus slightly past infinity. The best way to focus is to set your lens to MF. Find the brightest object in the sky (moon, jupiter, bright star), and center it in the viewfinder. Switch to live view, and zoom in as much as possible (10x). Then slowly adjust focus back and forth to make the star as small as possible. Once you've got it set, don't touch it again... 
This time of year, the milky way is visible, but not idea in the Northern hemisphere. We are currently facing away from the galactic center at night. It will be best through the summer months, when we face the galactic core.