You must vector armies to your fronts to win. The key is to establish a "safe area" of ten or so cities behind your lines that can act as an army factory and vector most of their production to the front lines. One warning: never let an enemy army behind your lines. At best, it will screw up your production as you try to reinforce several weakly defended cities simultaneously, and leave supply cities over-defended after the threat has been repelled. At worst, he could capture one or two of them (pray he doesn't raze them) and start vectoring troops behind your lines. If he does take one of your supply cities, you must retake it within two turns before the first vectored armies start arriving. Then it just gets ugly.
A quick way to establish or supercharge a front is to change your vectoring each turn. Look on your supply cities' production and find out what armies are due in 1 turn. Vector those armies to a city on the front line. Then, during your next turn, re-examine which cities will be producing armies in 1 turn and change your vectoring so that those cities are now vectoring to the same city on the front. If you look at that city's production it will no longer show the previous turn's vectoring. But, rest assured, those armies have already left the producing city and are currently enroute. As long as the city is under your control two turns after they were produced, they will arrive. This will allow one city to gain up to five new armies per turn (one produced by the home city and four armies of any strength being vectored).
This leads to another vectoring property. If you are vectoring to one of your cities and it gets captured by the enemy, the armies that were enroute are still enroute and if you can retake that city the next turn, you will still receive any armies that were due to show up on the following turn. You will lose one turn's worth of vectoring, but those armies will still "bounce" back at their original cities. Basically, a vectored army sets out for its destination on the turn it is produced and arrives two turns later unless the destination is not under your control or does not exist, in which case it "bounces", and starts travelling back to the producing city, arriving there two turns later. (If you no longer own the producing city when the "bounced" unit was due to arrive, the unit is gone.) -- update courtesy Dirk Pellett.
Which leads us to the coolest concept of all. We all know that a hero can plant his flag and you can vector armies to it as if he were a city. [ Ed. note - this feature was disabled in W2 Deluxe! Sigh... ] But did you know that the flag does not have to stay planted all turn? When an army being vectored to the flag is produced, it sets out for the flag and will arrive two turns later. It doesn't care what happens to the flag in the interim. As long as the flag is planted when it is due to show up, it will. To be more specific, a hero can make his movement and then plant his flag. Armies from up to 4 cities can be vectored to that flag. The next turn, the hero can pick up his flag, take his movement, and then merely plant it again at the end of his turn. As long as the flag is planted at the beginning of the turn a vectored army is due to show up (which requires you to have planted the flag at the end of the previous turn), then it will arrive, regardless of the original location of the planted flag! If you combine this technique with the above one that utilized changing vectorings based on next turn's production, you can increase the size of your hero group four armies per turn and not restrict his movement whatsoever! (Except if he has a speed item; the newly arrived units need to be with the hero for one turn to get the speed bonus.) This technique sometimes makes the necessity of "support stacks" obsolete. A hero could leave his own city with a sole bodyguard and arrive at an enemy city four turns distant a full group of eight. The only disadvantage is that while the flag is planted (ie, during other players' turns), the hero loses a +1 Command bonus.
But we should point out here that you cannot plant your standard in water or shore, and if you plant it in the mountains, ONLY flying units can arrive there -- even if it's surrounded by hills AND your hero has a flight item. -- Dirk Pellett
Unfortunately, you are limited to eight armies in the group. [ Also, only your own standard can be used; you can't vector to captured enemy standards. - Bob Heeter ] Any remaining armies do not show up; instead they "bounce back" to the producing city. [ So make sure your hero's stack has enough "slots" for the arriving armies! - Michael Leung] Also, armies that arrive in the hero stack do not receive any movement (speed) bonuses the the hero may impart thru artifacts, since they aren't actually in the stack at the part of the turn when the heros movement bonus is given out. (This is just like new production at a city in which a hero is camped.) Armies must be in the same square as the hero at the end of the previous turn to receive the bonus. But they DO NOT have to be "grouped" with the hero's stack! - Gary S. Best
An alternative opinion by Michael Leung: An alternate strategy I can offer is that I don't vector to the front too much - I mostly use it after I have penetrated the enemy's territory and need to get a mass of army there ASAP. I usually let my armies work their way up to the front and getting blessed along the way if there are any temples. This is a slower way of playing but it safer because even if your enemy punched through your front, you are still covered. Another advantage is you get slightly stronger armies.
A third perspective from Yong Kim: Some suggest vectoring as a quick way of supplying the front line while others suggest slower approaches. There is another way of supplying the front line quickly without the disadvantages involved in vectoring. I call it the "relay method." The idea is simple. Instead of having fixed defenders for your cities, relay them! If your cities are within one turn travel distance, city A can send the extra units just produced to city B. This frees up the defenders of city B which are then sent to city C and so on. By relaying the defenders this way, your front line will be supplied every turn in a very efficient manner. You don't, as a result, suffer the risk of losing a vectored city and screwing up your supply line. Two, your rear is safer (without any loss in supply speed) because your supply line is very flexible. Three, you can take advantage of temples close by, to get blessings which increase your armies' strength. Four, since the new supply units arrive before the turn is over, you can group them with the hero who has a movement bonus item. The units can take advantage of it the very next turn! Five, you basically "own" those temples and can even get lucky picking off enemy heroes. Since several units are always going in and out of the temples, the enemies can't use them. And if an enemy hero with only one or two bodyguards come close to the temple, he's dead. I'd gladly sacrifice a few of my ordinary units to kill enemy heroes. You might even get some magical items this way. (I usually have an ally close to my temples for just such an occasion.)
The one disadvantage to the relay method is the tedium. You get tired of moving most of your units every turn. So I don't always do it. I get lazy and use vectoring sometimes. But the relay is necessary sometimes. In one game I was playing the "I am the greatest" level and as soon as I captured a key strategic city, I started getting hammered by four different opponents in that one position. I couldn't sit around and wait for vectoring to kick in. But if you're not that desperate, you might compromise and use vectoring for only those units that are slow and only those cities that are positioned out of the way.
Addendum from Dirk Pellett: Towers can also be used when relaying units between more distant cities. If the tower is strategically placed along a road, it will often provide a good defensive point (blocking enemy invaders going for your weakly-defended rear cities). And in a game with other human players, it makes it hard for them to tell where all your units are!
Further addendum from Bob: relaying is often the best bet for naval units, who generally move faster over water than through vectoring to port cities, which are often in out-of-the-way locations anyway. I tend to use the relay method for cities near my front lines, and vectoring for more distant cities, depending on which method gets the troops to the front fastest. Note that the AI players tend to march on your most weakly-held cities, so you can leave one city as the "most-weakly-defended" and use it as a "magnet" to suck in enemy units... as long as you have enough of your own units on hand to wipe out each enemy stack as it approaches!