This is covered in
Dev Diary #9, in which Johan said:
It doesn't appear that you can build supply depots.
It's possible that he meant that as "We think that the AI is good enough that you won't need to", and not "It is not possible". After all, even on the HoI 1/2 logistics system you could build a depot if you wanted - start a big convoy there, and make sure the computer isn't stupid enough to ship it all back for you. It'd be utterly silly if you couldn't prepare for an offensive by stockpiling supplies *somewhere*.
In HoI II Armageddon playing a world wide empire is a nightmare. If I play japan and I have less than - lets say - 2000 convoys and military engagements around the world, I am about to cry. I don't know if the number 2000 is correct, but I build 990 convoy transports and I had some at the start of the '36 scenario. Its not that I couldn't supply my units with this much convoys; its that its so much work to manage it per hand, but the computer is to STUPID to do it himself.
(The shipping of supplys is maneged by need - if a unit is nearly out of supplys they are shipped. But... I got unneccesary iron from southamerika with over 200(!) convoys working at that while Infantry divisions on an island near china starved to death. And so on.)
So, if I can say: make a depot with 1000 fuel and 10.000 supplys HERE, I could manage my forces better. Ship supplys before you ship the troops, and you have reserves without stressing your supply system. And on land its the same: make a depot near the front before the attack and the infrastructure is less stressed during the crucial part - and he can bomb your supplylines so long he wants, as long as you have your supplys in depots near the front, you can fight.
Of course it needs time to get the supplys to the depot, and of course you loose a percentage of the supplys to get them there - but its worth it. On the strategic level.
And yes, if you have the supplys near the front they can bomb them. And you must have the option to get rid of the depot if it gets useless in the future. I don't want to manage the hole supplysystem: I want to have a tool to say the AI WHERE I want my supplys instead of cursing the AI or trying to make everything per hand. THAT would be the - stupid - alternative of not having the tool to say what the AI has to do.