When your in the tasks section
Click on the add a new group button
In the field marked Group, enter the name of your group.
Click add group
To assign a group to a task then simply select the group from the drop down box when creating a task or with existing tasks
To delete a group, simply click on the x next to the groups name. Be warned this will also delete all the tasks within that group, so if you need them reassign them first.