As long as you are in mania mode, the speed setting should appear in the top right corner of the screen.
It's the 10x in this screenshot:
Osu will remember the last speed you used on a song if you don't change your speed between switching songs. If you chose a song you haven't played in mania, or change your speed before starting, it will use the speed you set.
To be clear: it only remembers the speed you used if you don't change your speed when you select the song.
Here's how I pick my speeds.
Lets look at the BPM of the map I have selected in that screenshot. It's 160 BPM. I know I'm comfortable playing 160 BPM at speed 9 (playing with FL, without FL I would use higher speeds). If the BPM is lower, like say 150 BPM, I would increase up to 10. If it was about 135 to 120 I would go up to 11. And if it was higher like say 180 I would drop to speed 8.
There's no perfect way to select the scroll speed, so you need to experiment to learn what speed works best for you at what BPM.