Do any type of search for individuals. After the search, click on the "group" button. Maybe twice, until you get a note that they have been established as the group. Then go to Search - grouping and use the transfer process to get the members of the group marked with a flag.
Any time you click on the "group" button after a search you have replaced the existing group with the new one, but it does not affect the prevviously set flags.
There are other ways of handling grouping, but this is the simplest. The Arlington RUG recognizes this aspect of UFT as one of the most difficult to understand at first, so we have prepared a tutorial CD for our members to help explain it.