Real-time heuristic search methods are used by situated agents in applications that require the amount of planning per move to be independent of the problem size. Such agents plan only a few actions at a time in a local search space and avoid getting trapped in local minima by improving their heuristic function over time. We extend a wide class of real-time search algorithms with automatically-built state abstraction and prove completeness and convergence of the resulting family of algorithms. We then analyze the impact of abstraction in an extensive empirical study in real-time pathfinding. Abstraction is found to improve efficiency by providing better trading offs between planning time, learning speed and other negatively correlated performance measures.