Put the selection into a new folder

Select items and press ⌃⌘N.

How to do it

1. Select the items you want to group.
2. Press ⌃⌘N (File ▸ New Folder with Selection).
3. A new folder is created in the same place, with the selected items inside.

Shortcuts

⌃⌘N

More detail in the guide: File operations