To get a leader you need a successful attack with an Elite unit; you should get a leader one time in 16, or one time in 12 if you build the Herioc Epic (but you need a victorious army for that, so you need to get your first leader with the 1:16 odds). Which means you have to FIGHT!
You can't get a leader attacking barbarians.
You can't get a leader from an attack by an army.
You can't get a leader from an elite if it has already produced one
(which means you have to remember which elites have already produced leaders; there is no way to tell at the moment. Personally, I keep 'old' elites around just to help get leaders, then as soon as (if!) they do, I upgrade them: elites upgrade to veterans. NB if they later become elites again, you CAN get a leader again. Upgrading effectively wipes the slate clean for that unit)
And you can only have one Great Leader at one time. So use him quickly in most cases...
To form an army you need either a leader or the Military Academy.
With a leader, he should run (not walk!) to the nearest convenient city and then you will get two options at the bottom of the screen. One is 'build army'. Click that and he vanishes and becomes an army.
With the MA, you just build an army like any other unit.
To load units into an army, think of it like a ship. When the unit is in the same tile as the army AND has movement left, you can use the Load command.
Note: You can't Unload from an army; you can't upgrade the units in an army; an army moves at the pace of the slowest unit, so generally keep all the same unit (or at least speed) in an army.
General advice seems to be, use the first GL to build an army, which then tries to get a victory so you can build Herioc Epic and Military Academy ASAP. Build your other armies from scratch and use GLs for rushing wonders (their other role) UNLESS you have a lot of battles coming up and reasonably expect another GL, in which case use the first one for an army or an ordinary city improvement. This advice also applies if there are no good wonders etc in the near future.
If you search for Great Leaders or GLs on the forums you'll find a fair bit of discussion about them. The 1:16 odds can be daunting - I've gone whole games without ever getting one. But I have had 5 (so far) in my current game with only one major war

. So they do appear eventually.
Edited for poor spelling!