In order to get to the Groups menu, you have to first click on Settings, then on Groups.

When you get to the Groups screen, you will see a list of existing groups as well as a + New Group button that allows you to create a new group:

Let's create a new group called test_group.

To do so, click on the + New Group button, and fill in the pop-up dialog with test_group.

This should take you to the new Group menu:

Now, you can add members (users) to the group, as well as associate Data Sources with the group.

Both adding new members and Data Sources features autocomplete in their edit boxes.

In the following screenshot, I try to add the user alexander to the test_group, and immediately after when I type the first letters, you can see the autocomplete in action:

In the following screenshot, you can see the Data Sources of the default group as a reference.

We can see that all of them are Full Access, which means that all the members of the default group can create and run new queries on those Data Sources: