A Great Leader and an Army are two different things, Roman1. If you have a Great Leader and you want an Army then send the Great Leader to any city and click the button on the bottom that says "create Army". Once you make your Great Leader "become" an Army, you can't bring back the Great Leader.
Ok I got an Army in my city - what now? To put a unit *into* an Army all you do is click the "load" button when that unit is in the city which the Army is in. You must be very carefull once you create an Army but haven't got all the units loaded into it yet:
You can't unload units once they have been loaded and once the Army leaves the city, no more units can be loaded into it! So if you create an Army, don't send it out of the city before you get any units into it.