While in a port have the army selected and click on the board ship icon (looks like two arrows on opposite direction). This will bring up the boarding screen. Now select in that screen all your units and move them with the arrow to the fleet. Your army will disappear and you can move your fleet out of the harbor. It is not very intuitive and rather complicated. I don't understand why CA changed it and I like the way it was in RTW/M2TW better.
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