THE WADSWORTH ATHENEUM IN HARTFORD, CONN., has announced that Patrick McCaughey of Australia will become the museum's director this fall, replacing Tracy Atkinson. Mr. McCaughey is director of the National Gallery of Victoria in Melbourne. The Atheneum, founded in 1842, holds more than 40,000 objects, ranging from ancient to contemporary eras. `A WALK IN THE WOODS,' BY LEE BLESSING , was named the outstanding new play of 1986-87 by the American Theatre Critics Association. The work was first staged by the Yale Repertory Theatre. The association also named these plays runners-up for the honor: Jon Robin Baitz's ``The Film Society,'' which had its premi`ere at the Los Angeles Theatre Center (LATC); Darrah Cloud's ``The Stick Wife'' (also at the LATC); and Stephen Mack Jones's ``Back in the World'' (Attic Theatre in Detroit). THE AMERICAN DANCE FESTIVAL CELEBRATES its 10th anniversary in Durham, N.C., with the world premi`ere of ``10th Birthday Event,'' choreographed by Ruby Shang, today and tomorrow. The seven-week festival, which began in June, has showcased 16 companies, including troupes from France and Hawaii. The season concludes with performances by the Paul Taylor Dance Company, Thursday through Saturday.