Using simple numbers as arguments to FORMAT
Your "something like this" code is close — but you need to use string concatenation (of adjacent string literals) and the # operator to 'stringize' macro arguments:
#define FORMAT(x,y) "%+-" #x "." #y "lf"
printf("[" FORMAT(8,3) ", " FORMAT(8,3) ", " FORMAT(8,3) "]\n",
       a->x, a->y, a->z);
This is similar to using the macros from <inttypes.h> for printing types such as int64_t, except with those, you have to provide the % symbol (and any flags):
uint64_t x = 0x43218765CBA9;
printf("x = 0x%.12" PRIX64 "\n", x);
Using macros as arguments to FORMAT
Would there be a way to define my 8 and 3 values as macros too? Like instead of writing everywhere FORMAT(8,3), I would like to write FORMAT(X, Y) where I defined above #define X 8 and #define Y 3.
Yes, there is a way to do that.  Introduce an extra macro:
#define STR(z) #z
And invoke that on the arguments to FORMAT, as shown here:
/* SO 7531-4669 */
#include <stdio.h>
#define STR(z)  #z
#define FORMAT(x,y) "%+-" STR(x) "." STR(y) "lf"
#define Y 4
#define X 8
struct Point { double x, y, z; };
int main(void)
{
    struct Point b = { 7123.4567, 6234.5678, 5345.6789 };
    struct Point *a = &b;
    printf("[" FORMAT(X, Y) ", " FORMAT(X, Y) ", " FORMAT(X, Y) "]\n",
           a->x, a->y, a->z);
    printf("[" FORMAT(8, 3) ", " FORMAT(8, 3) ", " FORMAT(8, 3) "]\n",
           a->x, a->y, a->z);
    return 0;
}
This works and produces the output:
[+7123.4567, +6234.5678, +5345.6789]
[+7123.457, +6234.568, +5345.679]
It demonstrates that you can use simple numbers or macros that map to simple numbers as the arguments to this FORMAT macro.  What you can't do is have #define Y 3 and #define X (Y + 6) — that will stringify (3 + 6) which isn't valid in a printf() conversion specification.  (Beware of making X too big; you can end up with spaces between your number and the following comma.  Experiment with #define X 12 to see what I mean.)
The technique of invoking another macro triggers the expansion of the argument, which is often what you want.  See How to make a char string from a C macro's value? and Macro directives in C — my code example doesn't work.  The Q&A How can I concatenate twice with the C preprocessor and expand a macro as in "arg ## _ ## MACRO"? is about token concatenation rather than stringification, but the issues are closely related, and the solutions are similar.