I don't see how to set the Alt RX and TX pins. Is there no option to set the pins yourself?
You have to use pin 8 (for RX, connect to device TX) and pin 9 (for TX, connect to device RX). YOU HAVE TO USE THOSE PINS ON A NANO.
I assume that the Arduino nano uses the same AltSoftSerial pins like the Uno?
Yes. The Nano has the ATmega328P chip, just like the Uno. So YOU HAVE TO USE PINS 8 & 9.
I saw that they are fix in the echo example but then I also only get weird echos.
"Weird echos", really?
Show us. Connections, Sketch, and Serial Monitor contents (in code tags!).