I'm not sure if I know the quickest ways to set Rally Points, but usually what I do is set my main Rally Point and then go to governors and set all my colonies to that point.
Everytime I think I need a new Rally Point somewhere I make it and then I just click on each individual planet that I want to go there and push "T" then set it.
Ideally I would love a paint feature to set Rally points, although this is probably a lot of work. It seems to me though that just adding the feature to click on a star, push "T", then set all planets in that star system to a Rally point would speed things up and be easy to implement. I always want all planets in a certain system to go to the same Rally point anyhow.
Does this seem useful, or am I missing something?