I believe you are referring to rally points rather than waypoints. It is currently not possible to command a ship to move via several waypoints set along the chosen route.
Rally points however can be set by hitting 'P' and then left clicking on the galactic map. A pop-up would appear allowing you to name the rally point and to select a rally point command (eg. fleet the ships that arrive, auto-attack when ships arrive).
Once the rally point is set, you can either
a) Go to each planet screen and link the planet to an individual rally point. This would cause all new ships produced from the planet subsequently to move to the designated rally point.

Click on a ship on the galactic map and hit 'X'. The rally point popup would emerge and you would be able to direct the ship to autopilot to the selected rally point.