Currently it is a little complicated to create a group:

• Create a page for your group. It is a good policy to manage your group in the XWiki space. Example: XWiki.MyGroup
• Go to this page
• Use "edit objects" to edit the objects of this page
• In the Add Object field choose "XWiki.XWikiGroups"
• Repeat the "Add Object" operation for each user you want to add in the group
• In the member field of each object add the full name of your user. Example: XWiki.LudovicDubost
• Eventually protect your group from editing using a right.
• Your group is usable in the groups fields of rights using "XWiki.MyGroup"