You all join a party before you join a game. Get onto the xbox live menu and then go onto your friends and press 'Invite to party & game' over their name. If they like you they'll join your party and then you can join a LIVE game together.
That was a bit vague but hope it helps.
I see, I think. Does this get around the auto balancing of the teams, or are you talking private matches with just your friends?