You can do this, but only if you install the Disharmony DLC.
Hold down the left Ctrl, then click on the building system. While still holding down Ctrl, click on the destination location.
This should create a visible dotted arc that comes up out of the galactic plane from the building system and drops back down on the destination system.
To remove the rally point, hold left Ctrl, click on the building system, and then click on it again.
As soon as they are constructed, new ships will be made into single-ship fleets and fly toward the destination system via the shortest possible route, which may include wormholes or warp.