I've decided that I'd like to form a second convoy. The manual sez, "A convoy
is created when a captain signs up on one of the ships in the harbor." I can hire a captain, but I don't see how to then associate him with ships, unless he replaces my current captain. Help.

If you highlight the ship in the harbor, is there an option to "Form convoy"?

You may need to use the harbor master building to move ships between convoys after you form them.

Left-clicking on a ship does nothing. Right-clicking list the ships in the convoy and the ships in the harbor, but has no option to form a new convoy, unless I'm missing something.

There is no harbor master building, just a shipbuilder, a trading place, an inn, a church, and the governor's place, where there are the governor, master builder, and treasurer.

When you hire the new captain you can choose which ship he goes on, pick one that is not yet in a convoy.

I click "Hire" and I'm asked if I want this captain to replace my existing one. I've just noticed that if I choose "No", the guy doesn't get hired, and if I choose "yes", I don't see how to do anything with the previous captain.

Oops. I'd been missing the picture of the ship. Problem solved. Have some karma.