You make the rally points like you Vladimer say, then you click "end turn" and then all those units are sitting outside of your cities ready to move. You can now have the option of moving them all to the rally point yourself (they have movement points as they were just built) or you can wait until the end of the turn and then let them all go to the place which you told them. I think it's kind of annoying that you can't have an option to have them all move to the place first, but still - it works.