Move the unit you want onto the army and type 'l' to load it. Armies are basically land-galleons for units: Don't use them like galleons...
I think armies are good for two things. Breaking the designated defender in a metropolis or walled city. Or, in a pinch to compenstate for technological inferority.
Armies are the equivalent of insurance in 21. If the initial attacker is routed the other units step up. However, if you leave a red = dammaged army fielded and it gets run down you loose all the units.
You need to have four cities for every army you build.
You can't take units out of armies once they're in.
You can't upgrade them.
The only attribute the army inherits is move=2, and only if all units in the army have move=2.
Ergo 3 swordsmen or 3 cavalry make the most effective armies.
The worst thing you could possibly do is build the pentagon and drop four modern armor units in each army, the loose "blitz": they can't attack twice in a single turn. You cover a lot less area with the fast units if they are all glued together. Your best bet is the swordsmen because they are so flakey alone and artillery isn't available early on. Finnally, armies are a good destination for conscripts that didn't see action in the war they came from.