So, from my (VERY) brief reading on the alliance system, this is how I understand it.
First, we can now team up to attack other planets. This should be lots of fun once we all get our fleets built up and ready to attack people.
Second, we can also defend each other's planets. Notice, if you order your ships somewhere, you have the normal options (attack, tansport, etc) but you also have the option of “ACS defend.” This allows your fleets to join in my defense. I think you put some sort of wait time on your defense, which means the fleets will stay in orbit on my planet waiting for a fight for however long you order them.
Of course, this has a limit, because they will eventually run out of fuel while waiting and be forced to return home. I think this is what the Alliance Depot is for - it allows the owner of the planet to send more Deuterium to defending fleets to keep them in orbit longer around the planet.
I have the feeling that, initially, this won't be too important. I mostly see us using the ACS defend in the following way: One alliance member says to the other “hey, I'm getting attacked” the other member replies “no problem, I'll send over some ships and we'll crush them…” This doesn't require waiting very long on a planet.
So, I don't think we necessarily need to move our colonies out into the nether-regions of the universe. But, it would probably be wise to deliberately build colonies near each other. Luckily two of you were initially placed only a couple solar-systems away from each other - if I get another colony ship I will probably try ao colonize near you two giving us the opportunity to be near each other.
Ok, I'm done here.