Groups can be created in two quick, and easy, ways.
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The first option is to create a group when you're creating a campaign. In the bottom right of the campaign creation wizard, you can add a group name. When you create the campaign, the group will be created as well, adding this new campaign to it immediately.

The second way is from the campaigns page. Select the campaigns you'd like to add to a group, then click Group at the top of the table.

In the popover, you can type the folder name, then click save. This will create a group immediately, with the selected campaigns inside.