To create a group:

1. Go to the Groups menu and select 'Create Group'
2. A new group will appear in the left-hand sidebar 
3. Give your group a name that is meaningful to you
4. Drag and drop selected references from All References (or from another group) to your new Group.

Individual references can be both dragged into groups and deleted from groups. They will always remain in All References until deleted from there. You can drag-and-drop the new group to any custom Group Set.