After you have a formation the way you want it, make it a group, or ungroup it and regroup it if it already is, and they will stay in that group for the rest of the battle. Actaully, they may fall out of the group on the way there (for example the cavalry will outrun the infantry), but whenever you order them somewhere, the group will end up in the same formation.
They should have explained this in the manual.
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