Aside from having units stacked with leaders thus giving them the advantage of their command-points, the leader of a stack will also instill a bonus of 5% per offensive/defensive rating that stack-leader has. If the unit is additionally lead by (combined with) another less senior leader (unit-leader), the unit receives an additional 3% bonus per offensive/defensive rating of the unit-leader: Leader and independent division
So only stacking a bunch of leaders with a bunch of units will only give you the stack-leader bonus. To gain the bonus of the unit-leader you must combine a leader with the unit. You can always combine leaders with brigades that allow it -- generally brigades of more than just two infantry regiments -- during any date of the game. Divisions can only be formed in the campaign games starting in October '61. In March '62 corp can also be formed with a Maj.Gen. if there is an army available and the potential corp is withing the command range of that army.
Aside from using the buttons on the Unit Panel to combine/de-combine units and leaders, you can also select the units/leaders and type <Ctrl><c> to combine or <Ctrl><d> to de-combine them.