Argh! This has to be a highly-requested feature, right? It's hard to keep track of military stacks in a big war.
Name them something distinctive, as OrangeYoshi said. I tend to use a combination of the army outliner and naming them after constituent parts of my country. In a small country, provinces; in a WC game, usually after nations that are now part of my nation, similar to the way the second and third armies of England are named after Scotland and Ireland. Sticking with 1st Army, etc. will make you lose track a lot faster than remembering that the Army of Burgundy is the one sieging Tirol.