Should we form one, and more importantly, how should it work ?

On the first part, I would say yes. The way things are going now Europe is quickly become a big juicy, defenseless apple. Most North African countries could probably rival us when it comes to military strength. Turkey could certainly kick our collective arses if they wanted to. Though they show no intension of course, then again a revolution is practically a cultural even in Turkey, and as LEN has pointed out, the fundamentalist have real political power these days.
But then I don't suspect they will be the main problem. It's Mother Russia I'm more concerned about. Putin has definitely shown ambition to once again make the country a superpower. They have a vast arsenal of nuclear weapons, manipulated their surrounding countries and have a tight grip on gas supplies to western Europe. While I don't suspect they'll ever make it to a country like Belgium. Several former Soviet countries would probably make a nice target (say Finland).
Of course, perhaps the army should be used for other things than defensive purposes too. We still have this NATO thing going on, and if, say North Korea, decides to bomb the US we are obliged to act (though if we would is another question entirely...). At the moment we wouldn't be able to do much. Most of our armies are pretty untrained for combat, our equipment is often ancient, the amount of actual soldiers is small, and perhaps most importantly, we have very little in the way of coordination.
Kosovo has clearly demonstrated how bad the current system works, afaik no major changes have happened since.

It could be argued that traditional warfare is a thing of the past, that nationalism is all but dead. But I doubt that's the whole story. China, Iran and the US are still pretty big on nationalism, it certainly still exist in Turkey and is probably on the rise in some other countries too. I feel it would be too early to predict that a major war on European soil will never happen again. It feels a bit like the whole dot com hype at the end of the 90s. Everybody said the traditional economy was dead, yet a few years later reality comes crashing in. People rely too much on money being able to fix everything, yet money is, essentially, fake, just like a lot of those dot com businesses, they didn't have any actual capital, any tangible assets.

Now to the other big question. How should be organised ? I'm VERY reluctant to give an army to the commision or the parliament. Mostly because I'm not a federalist (contrary to what is often said about Belgians...). I believe in the free market, not a unified European 'nation'. I'm very thankful that the UK is such a problem maker in the EU because often I find them the voice of reason. But then only the council would have authority over the army, and they're notoriously inefficient (it's like a smaller version of the UN...).
Another point is whether the army should really be 'one' or should exist out of different regiments coming from different countries with their own specialization. That's pretty much how the current system works I guess, with Belgium doing mostly just cargo transport. But then, should it be possible for a member of one country to join the regiment of another ? I'd imagine there'd be quite a few people on the mainland who'd want to join a unit like the Royal Marines. But then, if enough foreigners are in a certain country's armed forces, are they still the armed forces of that country ? Should the nations keep their own army separate from the European one ?(note: in the other case I'd say their contribution to the EU army should be making their forces available, I'm not suggesting disbanding national armies, not a federalist remember ? )

Anyone got any ideas on how this might work ?