There are 4 ways to create a new group:
Grab a tab from your active tabs list or another group. Release it over the green area that appears. This will create a new group together with the selected tab.
Choose Save to new group in the Active tabs menu. This will close and save all your active tabs into the new group.
Choose Create new group from the Edit menu. This will create a new empty group.
By using the shortcut on your keyboard Cntrl + G