One important note to keep in mind:
Your army and the units you want to load into it must be in a city... the same city at that.
Just to make sure you understand everything fine, ill go thru it step by step, even though you probably understand most already.
1) Get a leader and some units into a city.
2) Select the leader and click the icon to "Build army"
3) Select the unit you want to put in the army. Press "L".
4) Repeat step 3 another 2 times.
5) Go out and try to kill something