Last weekend I was out doing timelapses of the milky way under a very dark sky. Usually I can find a street lamp near a tree and focus on that, but there wasn't anything around.

I have the Canon 24-70 f/2.8. The infinity focus point is different for shooting at 24mm vs shooting at 70mm, and neither are at the infinity indicator.

How do you guys set the focus on lenses when there isn't anything to focus on? Do you mark your lenses and manually adjust and hope you get it right? I've tried using live view with a high iso and wide open aperture but without light, its tough. I suppose taking an exposure of the stars and zooming in would work, but that could be laborious finding exactly the right focus point.

You can always take exposures of the stars as you said and adjust the focus pic by pic.

Or if the stars are really bright I've managed to focus when in live view!

I use live view and zoom in 10X digitally and us a star to focus. If you're in a area that's so dark that you have nothing to focus on then you should be seeing heaps of stars.

Same here, never had a problem hitting focus with that method.

Yep. Pretty much the way to go.

You can always go for a walk leaving a LED light 100m away

I use live view too and zoom in as far as it goes, then take a pic. If it's not sharp enough, I repeat the step until I get it pinpoint sharp.
After that I'm ready to shoot.

If I know what I want to shoot, I often do the focus during the day and put masking tape on the lens to prevent movement of focus, zoom, auto focus switch, and stabilization switch. When I get to location I am set. If I need to change the zoom, I use the options others describe here.

This is not the cheapest suggestion but it sure works nice. I bought a Zeis Distagon T* 21mm f2.8 lens. It has an infinity stop. Ie turn the lens to infinity and when it stops you are good to go. Their 50mm, 15mm, and 100mm lenses have infinity stops too. They make them for Canon and Nikon DSLR. The 21mm lens is so sharp you have to wear eye protection to use it. It's a manual focus lens but the electronics in the lens wil tell you when it achieves focus

I know it's not really very helpful for the OP but I can vouch for that Zeiss 21mm f2.8 lens as well. I have the same one myself, and aside from sharpness and overall fantastic quality, the hard infinity stop was also a reason for me to purchase it.

On my other lenses I also use the live view 10x view on stars. Any focus point should do really, since nailing the infinity focus means everything (within reason) will be sharp anyways.

Yep, focus on the stars. Crank up ISO and use Live View and 10x zoom. Twist the focus ring until the stars become pinpoints.

Mmmmm Distagon aahhhh.....