You need to have Advanced Permissions enabled to work with Group Sets
You can find the Group Sets section in the Dashboard at Dashboard > Members > Group Sets.
To add a Group Set, click the "Add Group Set" button at the top of the page.
Then give our Group Set a name and click "Add Set" in the modal and check the box next to the groups you want to be a part of that set.
Your Group Set is now created. You can edit or delete the Group Set by clicking on it and updating it through the Group Set detail page.