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.