The easiest way I know of is to create the group in your Google Contacts list. I do it from my PC. Once I create the group and save it, it shows up on my phone right away.
If you want to do it from your Mez, press Contacts, then Groups. Press the menu button, then Create. Select Add member and you can scroll up and down your list of contacts. Select the ones you want to add and then hit save.