I'm playing Crusade, so this might not help you, but here goes anyway in case it does:
The fourth icon above the mini-map has what looks like a pair of parentheses over a down arrow, and the tooltip for it says "Create new rally point". Click it, and the mini-map changes to a list of your rally points with a button that says "New". Click the new button, then click on the main map in the hex where you want your rally point. You should now have a rally point.