Hi 

If you want to do this in code, just put your scene objects into an array and pass that array to the SceneObjectGroup constructor

var myObjects = [obj1, obj2, obj3];
var my Group = new SceneObjectGroup(myObjects);

From the editor you can select multiple objects (holding shift or ctrl),  then in the bottom right area of your screen you'll see a button to create a SceneObjectGroup with them. 

Thank you for a thorough answer!