Teacher > Groups > New group
Add a description, "no" should already be selected in Public Flag.
Press save.
The group has now populated. Sadly, there is no one in the group.
Select "Member"
You can add users manually by narrowing the filter, and manually selecting the students and adding them.
Alternatively you can pull from a preexisting Events & Payments list.
Press Save, and now you should see there are people in this group.