Ok for me (Crusade) on minimap (lower right corner of map screen) it has four(4) tabs above it(beehive, graph, hand, Rallypoint).
- Click on rally point tab
- Click "New" button which changes the cursor
- Click anywhere on main map and it will create a new rally point.
- Then select shipyard and click "Rally point" and select your new rally point from the list.
Note: I believe this only works for new ships and does not seem to work for ships which are ejected from shipyard.