Well, fleets tend to get into formations when they move - same type of ships are grouped together, some ships hang to the back while others at the front, etc. If find yourself with a messy fleet tell them to move to a spot nearby, they'll form up and then it's easier to select them.

I however tend to split the fleets right from start. Once I get a second capital ship I usual designate it as a fleet (of one as it were) and then move to another planet. Then any ships produced there would get assigned to it automatically, and ditto for any ships produced on another planet (i.e. they'll get assigned to it when they arrive there) as long as they don't get assigned to another fleet before arriving at this planet.