You have to be defending while not having moved the prior turn from what I've seen -- so not if you're intercepted or ambushed, or just took a city, etc. The infantry earthworks are decent but I don't use any of the other "cover" options due to horrible pathing and buggy behavior; It's more efficacious to position units a few steps back from a wall in normal 3-rank formation and let the wall slow any attackers.
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