You can form two ships into a fleet by moving one onto another.

Note however, that your empire has a "Logistics" limit that caps the size of a given fleet.  Each ship has a Logistics size (with bigger ships having a bigger Logistics cost), and the sum of the Logistics sizes for the ships in a fleet cannot exceed your empire's "Logistics" limit.

Attempting to combine fleets into a mega-fleet that would exceed your Logistics limit will fail, and those two fleets will remain separate fleets on the same tile.

To increase your empire's "Logistics" limit, research the Logistics row in the Engineering tech tree.

Once you have multiple ships in the same hex, you can choose the "manage" option and decide exactly which ships should go into the fleet. Note that you need to shift/ctrl click on each individual ship or sub fleet and then select "create fleet". You can disband entire fleets on the manage page as well. As noted above, your logistics limits come into play here.

Also, once you have a fleet, if you select an individual ship from the mgmt window (on the bottom left of the screen), you can right click to remove it from the fleet and send it to a different destination. This is useful if you have one wounded ship in a fleet and want to send to a shipyard/station for faster repair.