There are two ways you can create a new group.
First off, you need to select all the layers that you want to place in the group by holding Shift and then making your selection.
With the layers selected, you can now click on the Layers Panel Menu icon (the little arrow next to the four lines) in the top right corner of the layers panel.
From there, choose ‘New Group from Layers‘ from the pop-up menu.
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