Under the Contacts menu, there's "Create New Group", Ctrl+N.

I came here to ask about a way to keep that group as part of my contacts, since it seemed to be ad-hoc only for the current Skype session. But I may have discovered how, in the woeful Skype interface. So fwiw, hope it helps someone:

I have Fred and Wilma in my contacts, and there are many times when I'd like to send them both the same message or call them both, without the extra copy/paste or 'add another' dances. So I want to make and keep a group called Flintstones.

Here's what seems to be the trick, although it's only 15 minutes old so far.

You need a recent conversation with Fred & Wilma which shows up when you click "RECENT" in the left-side menu--I'm in 'Compact Sidebar View', might be different for you if you have something different selected in the View menu. If you don't have a recent conversation, create one via Contacts > Create New Group--you can send 'em a "just testing, ignore" IM.

Click RECENT, you'll see 'Fred, Wilma' there.
Right-click their name in the left menu.
In the popup menu, click on "Save Group in Your Contacts".

This is not enough to have them show up in your Contacts, however.
For that, you have to go Contacts > Contact Lists and select "All"--mine was defaulted to "Skype".
Now they should show up, and you can rename [eg from 'Fred, Wilma' to 'Flintstones'], and add to favorites, etc.