In this paper we study the evolution of the kinetic features of the martensitic transition in a Cu-Al-Mn single crystal under thermal cycling. The use of several experimental techniques including optical microscopy, calorimetry, and acoustic emission, has enabled us to perform an analysis at multiple scales. In particular, we have focused on the analysis of avalanche events (associated with the nucleation and growth of martensitic domains), which occur during the transition. There are significant differences between the kinetics at large and small length scales. On the one hand, at small length scales, small avalanche events tend to sum to give new larger events in subsequent loops. On the other hand, at large length scales the large domains tend to split into smaller ones on thermal cycling. We suggest that such different behavior is the necessary ingredient that leads the system to the final critical state corresponding to a power-law distribution of avalanches.